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Interest rate parity: Is it alternative for the computation of the equilibrium exchange rate in Venezuela?

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  • Josefa Ramoni Perazzi

    (Universidad de Los Andes, Facultad de Ciencias Económicas y Sociales, Departamento de Economía)

Abstract

Las interrogantes en torno a los factores determinantes del Tipo de Cambio (TC) buscan ser resueltos por diferentes enfoques. El método comúnmente utilizado, compara el poder de compra de la moneda dentro y fuera del país, lo que se conoce como Paridad del Poder Adquisitivo (PPA). Por otro lado, la Paridad de Intereses (PI), compara la rentabilidad de inversiones financieras domésticas y foráneas. Se explora aquí, la validez de ambas teorías en el comportamiento cambiario de Venezuela, haciendo uso del test de cointegración de Johansen. Habiéndose verificado la vigencia de la PPA, más no de la PI, se construye un modelo de corrección de error y se recurre al test de causalidad de Granger, para verificar la dirección de la relación.

Suggested Citation

  • Josefa Ramoni Perazzi, 1998. "Interest rate parity: Is it alternative for the computation of the equilibrium exchange rate in Venezuela?," Economía, Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela, vol. 23(14), pages 151-174, January-D.
    • Handle: RePEc:ula:econom:v:23:y:1998:i:14:p:151-174
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    References listed on IDEAS

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    2. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
    3. David W. R. Gruen & Jenny Wilkinson, 1994. "Australia's Real Exchange Rate–Is it Explained by the Terms of Trade or by Real Interest Differentials?," The Economic Record, The Economic Society of Australia, vol. 70(209), pages 204-219, June.
    4. Ericsson, Neil R., 1992. "Cointegration, exogeneity, and policy analysis: A synopsis," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 395-400, August.
    5. Cochran, Steven J. & DeFina, Robert H., 1995. "Predictable components in exchange rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 35(1), pages 1-14.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Tipo de cambio; paridad del poder adquisitivo; paridad de intereses.;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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