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Proyeccion de la tasa de cambio de Colombia bajo condiciones de PPA: evidencia empirica y demostracion econometrica mediante VAR

  • Catherine Fayad


  • Roberto Fortich


  • Ignacio Velez-Pareja


En este trabajo evaluamos la proyección de la tasa de cambio (peso colombiano/dólar) con datos de 1995 a 2005 de Colombia a través del modelo de Tasa de Cambio de Paridad de Poder Adquisitivo (TCPPA). En primer lugar encontramos que las proyecciones realizadas validan el uso de este modelo bajo determinadas condiciones dado que teóricamente es un buen indicador del comportamiento de largo plazo de la tasa de cambio nominal. El segundo hallazgo consistió en la comparación del desempeño en la muestra (reservando los datos históricos de 2001 a 2005) de las proyecciones de modelos que utilizan la PPA, con las de un modelo de Vectores Autorregresivos (VAR). El método VAR tiene mejor desempeño para predecir la Tasa de cambio nominal, de acuerdo con los indicadores RMSE, MAE, y U-Theil, mientras que de acuerdo con el MAPE en el primer y segundo mes pronosticado, el VAR tiene peor desempeño que los modelos que utilizan PPA.

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Paper provided by UNIVERSIDAD TECNOLÓGICA DE BOLÍVAR in its series DOCUMENTOS DE TRABAJO with number 005293.

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Length: 15
Date of creation: 20 Feb 2009
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Handle: RePEc:col:000162:005293
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