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¿Respuesta asimétrica de precios domésticos de combustibles ante choques en el WTI?

  • Barrera, Carlos

    (Banco Central de Reserva del Perú)

La presente investigación aproxima cuantitativamente las relaciones dinámicas entre los componentes de los precios domésticos de los combustibles y el precio internacional del petróleo WTI, su principal determinante, para el caso peruano durante los años 2000-2009. Este periodo incluye uno más reciente, que se inicia en set. 2004, en el que estos precios domésticos se han formado bajo un sistema de bandas administrado por el Fondo de Estabilización de Precios de los Combustibles Derivados del Petróleo (FEPCDP). Para capturar la potencial presencia de asimetrías en el vector de medias condicionales, se propone un modelo dinámico flexible (VAR neuronal), una distribución t de Student para el vector de perturbaciones asociado así como un modelo de heteroscedásticidad dinámica (ARCH) para su matriz de co-varianzas condicionales. Los parámetros de ambos momentos condicionales son robustos ante la presencia de observaciones atípicas -outliers- debido a que los vectores de perturbaciones son realizaciones de una distribución t de Student multi-variada, lo que además reduce la presencia de asimetrías espurias en las medias condicionales. Al cubrir el costo computacional requerido, la aproximación de los parámetros logra develar la operatividad del FEPCDP. Sin embargo, elevar la precisión de las proyecciones de inflación no subyacente (NS), cuyo componente más relevante a predecir es el sub-índice de precios de los combustibles de consumo final, puede resultar más costoso.

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Paper provided by Banco Central de Reserva del Perú in its series Working Papers with number 2010-016.

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Date of creation: Dec 2010
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Handle: RePEc:rbp:wpaper:2010-016
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