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Aplicación de la hipótesis de paridad de poder adquisitivo en el pronóstico de la tasa de cambio del peso colombiano contra el dólar estadounidense || Application of the purchasing power parity hypothesis in the forecast of the exchange rate of the Colombian peso against the US dollar

Author

Listed:
  • Jiménez-Méndez, Edgar Ricardo

    (Universidad Jorge Tadeo Lozano (Bogotá, Colombia))

  • Aguilera Peña, Nicolás

    (Universidad Jorge Tadeo Lozano (Bogotá, Colombia))

Abstract

Este paper muestra el pronóstico de la tasa de cambio entre el peso colombiano y el dólar estadounidense (en adelante dólar) desde Diciembre del 2019 hasta Diciembre del 2020, basado en un modelo VEC (Vector Error Correction) a partir de la hipótesis de paridad de poder adquisitivo débil. Con esto, se propone que la tasa de cambio se ajusta no solamente para equilibrar las diferencias en precios entre Estados Unidos y Colombia, sino también para equilibrar una tercera variable, en este caso el precio del petróleo WTI. Dado que la principal fuente de ingresos por exportaciones para Colombia son los recursos petroleros, se consideró valioso usar las cotizaciones del WTI como proxy para estimar la probable dirección que siga la tasa de cambio en el corto y medio plazo. || This paper shows the forecast of the exchange rate between the Colombian peso and the US dollar (hereinafter the dollar) from December 2019 to December 2020, based on a VEC (Vector error correction) model based on the parity hypothesis of weak purchasing power. With this, it´s proposed that the exchange rate is adjusted not only to balance the differences in rates between the United States and Colombia, but also to balance a third variable, in this case WTI crude oil price. Caused by that the main source of export earnings for Colombia has its source in oil resources, it was considered valuable to use WTI quotes as a proxy to estimate the likely direction of the exchange rate in the short and medium term.

Suggested Citation

  • Jiménez-Méndez, Edgar Ricardo & Aguilera Peña, Nicolás, 2021. "Aplicación de la hipótesis de paridad de poder adquisitivo en el pronóstico de la tasa de cambio del peso colombiano contra el dólar estadounidense || Application of the purchasing power parity hypoth," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 32(1), pages 29-48, December.
    • Handle: RePEc:pab:rmcpee:v:32:y:2021:i:1:p:29-48
    DOI: https://doi.org/10.46661/revmetodoscuanteconempresa.4476
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    References listed on IDEAS

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    More about this item

    Keywords

    pronóstico; peso colombiano; petróleo WTI; Modelos VEC; paridad; forecast; Colombian peso; WTI Oil; VEC Models; parity;
    All these keywords.

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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