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Expectativas de depreciación y diferencial de tasas de interés: ¿Hay regímenes cambiantes? El caso de Perú

Revista Estudios Económicos 02/2007;
Source: RePEc

ABSTRACT Este documento presenta una evaluación econométrica de la paridad descubierta de tasas de interés (PDI) para instrumentos financieros peruanos y documenta las principales regularidades empíricas respecto a esta relación. La información contenida en los diferenciales de tasas de interés respecto a la depreciación esperada es evaluada bajo distintas representaciones econométricas. En el caso peruano, si se consideran aproximaciones lineales y se incluyen períodos en los cuales las expectativas de inflación son relativamente altas, la paridad se cumpliría en promedio en el corto plazo (contrario a la evidencia internacional). En períodos de estabilidad de precios (bajo esquemas de metas de inflación), por el contrario, representaciones lineales muestran evidencia contraria a la PDI. En ambos escenarios, los modelos de cambios de régimen distinguen, sobre un mismo tamaño de muestra, entre períodos consistentes con la PDI y aquellos en que ésta no es tan relevante. En particular, los modelos Markov de regímenes cambiantes señalan la importancia de la volatilidad de los movimientos cambiarios para evaluar la validez de la PDI.

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