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Un analisis de los desequilibrios del tipo de cambio real argentino bajo cambios de regimen

Author

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  • Daniel Aromi
  • Marcos Dal Bianco

Abstract

En este trabajo estudiamos para Argentina la presencia de diferentes regimenes en la media y la varianza de los desequilibrios del TCR respecto de su equilibrio, utilizando un modelo de cambios de regimen tipo Markov con probabilidades de transicion variables. Nuestras estimaciones reconocen dos estados persistentes en la media de los desequilibrios del TCR argentino asociadas a apreciaciones y depreciaciones reales, siendo las depreciaciones reales mas persistentes que las apreciaciones. Por otro lado, encontramos un solo estado de la varianza de dichos desequilibrios. Ademas, se verifica una correspondencia temporal cercana entre los principales planes de estabilización y el estado apreciado. Por ultimo, mostramos que el uso de probabilidades de transicion cambiantes en el tiempo es apropiado, siendo dichas probabilidades explicadas por variables locales, como la tasa de inflacion, e internacionales, como la tasa de interes de EE.UU.

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  • Daniel Aromi & Marcos Dal Bianco, 2014. "Un analisis de los desequilibrios del tipo de cambio real argentino bajo cambios de regimen," Working Papers 1431, BBVA Bank, Economic Research Department.
    • Handle: RePEc:bbv:wpaper:1431
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    More about this item

    Keywords

    Análisis Macroeconómico; Argentina; Documento de Trabajo; Investigación; Latam;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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