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Impacto amplificador del ajuste de inventarios ante choques de demanda según especificaciones flexibles

  • Barrera, Carlos R.

    ()

    (BCRP y UNMSM)

La presente investigación aproxima cuantitativamente las relaciones dinámicas potencialmente asimétricas entre el crecimiento del PBI, del acervo de inventarios y de tres componentes de la demanda agregada (la demanda interna pública, la demanda interna privada y, en particular, la demanda externa por exportaciones) durante la experiencia peruana de crecimiento basado en el mercado (1993-2010). 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 presencia de incentivos para mantener inventarios que son adicionales al tradicional suavizamiento de la producción. Un parámetro estadísticamente diferente de cero en la estructura contemporánea indica que un choque positivo en el ritmo de crecimiento de la demanda privada será absorbido principalmente por un aumento más que proporcional en el choque del ritmo de la producción. Este impacto amplificador ("des-moderador") de los choques de demanda sobre la evolución de la producción es consistente con los cálculos de la incidencia promedio del crecimiento de la inversión en inventarios en el crecimiento del producto real durante 4 recesiones recientes y se explicaría por el ciclo agregado de los inventarios (aunque no necesariamente de bienes finales).

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Paper provided by Banco Central de Reserva del Perú in its series Working Papers with number 2011-009.

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Date of creation: Jun 2011
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Handle: RePEc:rbp:wpaper:2011-009
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