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Proyección de precios de exportación utilizando tipos de cambio: Caso peruano

Author

Listed:
  • Ferreyra, Jesús

    (Banco Central de Reserva del Perú)

  • Vásquez, José

    (Banco Central de Reserva del Perú)

Abstract

La proyección de los términos de intercambio es un insumo relevante para el diseño de políticas macroeconómicas y es de vital importancia en países como Perú, cuya economía es pequeña y exportadora principalmente de materias primas. En el presente documento se aplica la metodología utilizada por Chen, Rogoff y Rossi (2009) para predecir la variación de los precios de exportación de Perú utilizando las variaciones de un índice de tipos de cambio de países exportadores de materias primas. Los resultados muestran que los tipos de cambio tienen un elevado poder predictivo de los precios de exportación del Perú, incluso mayor al de otros modelos ampliamente utilizados como los procesos autorregresivos o paseos aleatorios.

Suggested Citation

  • Ferreyra, Jesús & Vásquez, José, 2012. "Proyección de precios de exportación utilizando tipos de cambio: Caso peruano," Working Papers 2012-008, Banco Central de Reserva del Perú.
  • Handle: RePEc:rbp:wpaper:2012-008
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    File URL: http://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2012/documento-de-trabajo-08-2012.pdf
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    More about this item

    Keywords

    Tipo de cambio; precios de los commodities; proyecciones; random walk;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • Y - Miscellaneous Categories
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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