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Prediciendo el precio del cobre: ¿Más allá del camino aleatorio?

Author

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  • Eduardo Engel

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  • Rodrigo Valdés

    ()

Abstract

En este trabajo se compara la capacidad predictiva de mediano plazo (1 a 5 años) de una variada gama de modelos de series cronológicas para el precio del cobre. El criterio de comparación es el error cuadrático medio de predicciones fuera de muestra. Entre los modelos considerados destacan medias móviles, procesos ARIMA, precios futuros, modelos no lineales ESTAR y modelos de uno, dos y tres factores (estimados mediante el filtro de Kalman) utilizados en finanzas. Se concluye que los dos modelos con mejor capacidad predictiva son el proceso autoregresivo de primer orden y el camino aleatorio. Finalmente se presenta evidencia sugiriendo que los modelos de series cronológicas entregan mejores predicciones de mediano plazo que los modelos econométricos.

Suggested Citation

  • Eduardo Engel & Rodrigo Valdés, 2001. "Prediciendo el precio del cobre: ¿Más allá del camino aleatorio?," Documentos de Trabajo 100, Centro de Economía Aplicada, Universidad de Chile.
  • Handle: RePEc:edj:ceauch:100
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    File URL: http://www.dii.uchile.cl/~cea/sitedev/cea/www/download.php?file=documentos_trabajo/ASOCFILE120030404112717.pdf
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    References listed on IDEAS

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    1. Warr, Peter G., 1990. "Predictive performance of the World Bank's commodity price projections," Agricultural Economics of Agricultural Economists, International Association of Agricultural Economists, vol. 4(3-4), December.
    2. Michael, Panos & Nobay, A Robert & Peel, David A, 1997. "Transactions Costs and Nonlinear Adjustment in Real Exchange Rates: An Empirical Investigation," Journal of Political Economy, University of Chicago Press, vol. 105(4), pages 862-879, August.
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    4. Froot, Kenneth A. & Rogoff, Kenneth, 1995. "Perspectives on PPP and long-run real exchange rates," Handbook of International Economics,in: G. M. Grossman & K. Rogoff (ed.), Handbook of International Economics, edition 1, volume 3, chapter 32, pages 1647-1688 Elsevier.
    5. Alejandro Drexler & Eduardo Engel & Rodrigo Valdés, 2001. "El cobre y la estrategia fiscal óptima para Chile," Documentos de Trabajo 101, Centro de Economía Aplicada, Universidad de Chile.
    6. Schwartz, Eduardo S, 1997. " The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging," Journal of Finance, American Finance Association, vol. 52(3), pages 923-973, July.
    7. Cuddington, John T & Urzua, Carlos M, 1989. "Trends and Cycles in the Net Barter Terms of Trade: A New Approach," Economic Journal, Royal Economic Society, vol. 99(396), pages 426-442, June.
    8. Gersovitz, M. & Paxson, C.H., 1990. "The Economies Of Africa And The Prices Of Their Exports," Princeton Studies in International Economics 68, International Economics Section, Departement of Economics Princeton University,.
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    Cited by:

    1. Ercio Muñoz & Pablo Cruz, 2012. "Uso de un Modelo Favar para Proyectar el Precio del Cobre," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 15(3), pages 84-95, December.

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