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Análisis de las expectativas cambiarias en Bolivia

Author

Listed:
  • Rolando Einar Paz Rodriguez

    (Banco Central de Bolivia)

Abstract

Se efectúa un análisis de las expectativas del tipo de cambio provenientes de la Encuesta de Expectativas Económicas del Banco Central de Bolivia con el objeto de evaluar su racionalidad a través de diferentes pruebas estadísticas y econométricas habituales en la literatura empírica. Los resultados indican que las previsiones cambiarias no corresponden a un proceso generador de datos compatible con la hipótesis de expectativas racionales, toda vez que se incumplen las condiciones de insesgamiento y ortogonalidad. Se encontró un sesgo sistemático hacia la depreciación de la moneda y la utilización ineficiente de la información disponible al momento de generar los pronósticos.

Suggested Citation

  • Rolando Einar Paz Rodriguez, 2021. "Análisis de las expectativas cambiarias en Bolivia," Revista de Análisis del BCB, Banco Central de Bolivia, vol. 35(1), pages 105-128, July - De.
    • Handle: RePEc:blv:journl:v:35:y:2021:i:1:p:55-86
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    More about this item

    Keywords

    C53; D84; F31; F47;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications

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