Una nueva aproximación

Transcripción

1 DMANDA D DINRO N URUGUAY: Una nueva aproximación Julio de 2006 A l e j a n d r o F r i e d J o s é M a r c o s T r u j i l l o! #$$$ %$$ & ' ( )*'+ -* '. + / 0' / ' '- 4 )*'+

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5 C /D 4CD C D 29M H %$ ' 9 C D C D94 4 M á x u ( c m ) t ( c t m t ) β t t t = 0 mt f ( kt ) + vt + ( δ ) kt + = ct + kt + mc%d t ( π ) t 6 9 CD 78 9 :8 d t log( M Pt ) = b0 + b log ct + b2 log + it!# i C#D ( C 9D ;)!$ C=D )C D ;! < 9 <=< $! I 4 / (C#$$@D H 9M2C%HJLDG+? K %$ / +!C%HIJDG/? K4 * 4

6 * M F / u u [ c f ( x) ] = C>D )!$ ' max f ( x) p x = mc@d x C 4 D. ) C6D C D 9 4 M f ( x) x n = = CJD i= i 9 C D9 2 CD C4D %$$& M C D. 6

7 C D %% 9 C D M f ( x) a x n = = 0 a i i= i i CLD '! % * 9 9 C D %# 6 C D )! CD %HH@+* %= %>! % 4 6C D 9 B %@ * C %% d log( x j / x ) i η i j = d log( f ( x ) / f ( x )) 9 d log x2 d log x η2 = = d log() %# - N- 7 9 C%HI>D %= *0!F02+00C%HH@DG2? K %> n Rt r it C t = f ( x) = xit i = Rt %@! i j 7

8 D %J M 9 C!*!9 ( D ( $ * * CD - 4 ) C D - 4 R ri p i = IP * + R C6D 2 CID * - * %L ( 2)( wi t + wi t ) n D D x i t M t = M t Π i= x i t ( n D D log M log M = w i t log x log x t t ( i t i t ) i = # * w = p x p x i t i t i t k t k t k = n CHD C%$D * / C D %J 9 % 9 C.*D M = f ( x ) = x + I D * x t t t 2 t d lo g x 2 d lo g x x 2 x η 2 = = d lo g () d lo g ID ID %L 7 8

9 4 M * B * 4 4 % &&' % %HI$#$$@ ' -!) 6O% Gráfico Nº - M y M' en términos reales I 98.IV 983.III 98.II 987.I 988.IV 990.III 992.II 994.I 99.IV 997.III 999.II 200.I 2002.IV 2004.III M real M' real 4 trimestres móviles M real 4 trimestres móviles M' real 9

10 / -!)! %$$& C #>DM 4 %I %$$& C D % % 4 =$ 6 4. #$$# * B 4 % ' 4 6 %J ' I R R IRR = R r C%%D t t R r R t t 2 = t C%#D J P %# C D 9 * 4 6? %I ;*2C%HH%D C%HH%D 0

11 6O# Ponderación del C I 98.IV Gráfico Nº 2 - Diferencial de rentabilidad 983.III 98.II 987.I 988.IV 990.III Pond. C 992.II 994.I 99.IV 997.III Dif. Rent. / -!) II 200.I 2002.IV 2004.III ' 4 C %HI# %HI@ %HH$ 4 #$$% #$$# D 6O= C$J>D Diferencial de rentabilidad Diferencial de rentabilidad (en puntos porcentuales) Gráfico Nº 3 - Diferencial de rentabilidad y aceleración inflacionaria 980.I 98.IV 983.III 98.II 987.I 988.IV Dif. Rent. 990.III 992.II 994.I 99.IV 997.III Aceleración 999.II 200.I 2002.IV 2004.III /.6-!) M Aceleración inflacionaria (en %)

12 4 9 '! 7 *M/' 9 J $LH& 4 %$ 9 4!'C'(2D*!!! ' 4 +-+!C D - %H C D -+7) '(2 #> +- %HH$ ' - C D +! %HHL B '(2 %H

13 '(2! 6O% %HHJ 4 %HHL%HHI%HHH B! -.# # ()*+(# ( 2 3 %H= L#%%$#@ 4 #>L %$=LHHJ= #H> %>=#H$@H =>@ %L%>@#%$ H>JI$L /60 =H= %%$@%##H %#=$=H$ /60 =J% %%J=J$>H %#=>LJJ $/60 J=L %#L=I%I# %=$#J@@ 7/60 L%% %=I=LIJI #%>@$#J / -!)-+7) CQD! -+7) ( /# 0!! #$ % ' 4 4 C D ) '4 %HHL%HHH 6O# 3

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15 9 ' * * * 4 6 ; % 4 C D C#D * M = C + DV + IDCA CA C%=D p * %( )* B ' ) %$$& C D* #$ DCAt C At VC At C%>D IDCAt = = DDVt DVt V D Vt ###> #> > > #> ( 4 * C D # $% $ #$ ) -+7)-!) ; -+7)-!)

16 % 4 # - + #% %HI=%HH@ ## 9 ; ()$ - %HI= %HI> %HI@ %HIJ %HIL %HII %HIH %HH$ %HH% %HH# %HH= %HH> $$L $$H $%$ $%# $#% $%$ $%= $%H $%I $%L $#H $## %HH@ $=@ / -+7)-!) # 4 %HI$%HI# %HHJ#$$> # $% % B -+7) #= #>! #%HI$%HI#%HHJ#$$> #% G. K -!) ## %HH@ #=! -+7) /(C#$$@D #> ;-2.'C#$$$DG )K 6

17 %+ ) 4 #@ # %HI=%HH@ #J # 4 %%=@& #$$>I$& 4 # %HI$%HI#%HHJ %HI=%HH@* 4 %HI$%HI# 9 %HHJ! %HHL%HHH G K Gráfico Nº - IDCA -aprox. conservadora ajustado / -+7)-!) %+ 7 > ()7* # /= 0.# + 9 : '# 3 =@=J >%@H =I>L 4 >=H@ =I$@ #@=@ =%L$ %HJ@ %>H= %L#H / -!) ) 4 #@ # ln( IDCA ) = β + β T + µ t - #J! # 4 0 t 7

18 %HHL # # %HI$%HHJ %%=@&%HHL '(2 9 6OJ 6O@# 4 %HHL '(2 9 #$$$%$$& #L #$$# %$$& ' - ()< > 4 $$@@ 4 $$J% 4 $$JI 4$ $$LJ 47 $$I@ 4< $$H> 42 $%$@ 43 $%%L 44 $%=$ 4 $%>@ $%J% $%I$ $#$$ $ $##= 7 $#>I < $#LJ 2 $=$I 3 $>#J 4 $J>L $I@= % % % $ % 7 % Gráfico Nº 6 - IDCA - Aproximación ad hoc / -+7)-!) %! ' # 6OL + M = C + D V C%@D P #L

19 * M = C + DV + IDCA CA C%JD p ah * #! 6OL %@ 'H$S C# D Gráfico Nº 7 - M y M* en términos reales 980.I 98.IV 983.III 98.II 987.I 988.IV 990.III 992.II 994.I 99.IV 997.III 999.II 200.I 2002.IV 2004.III M real 4 trimestres móviles M real M* real 4 trimestres móviles M* real / -+7)-!).6 % - ' & 4 #I ' T #H! 4 4 m p = β + β y + β i + β T C%LD & =$ - * M #I! #H ;-3 C#$$=D =$ 9!@A$ 4!$? 9

20 G KF M G K -( GK %./-0 % 2.6 -!) ) =% * 2 4 6? * %! & < ; /C>D2-!) %HL@ 4.;/.- %HLI %HH$ %HI= %HHH %HII %HI= '.;/.- 9 C#$$>D =# C C k + h k + h k + h k + h = k + h + C k C%ID T C C = C%HD k + h k + h k k k + h C k 4 * 4 =% ;-2.'C#$$$D =# 0C#$$>DG) K 20

21 ! 4 C%HI=%HIID! & F * C4 D & ( %$! ) 4 9 C D * -!) %HLI ' * 2% C D 6 *.;/.- 6OIH I / -!) 98.IV 983.III Gráfico Nº 8 - IVF PBI empalmado (promedio 983=00) 98.II 987.I 988.IV 990.III 992.II 994.I 99.IV 997.III 999.II 200.I 2002.IV 2004.III Gráfico Nº 9 - Tasa de interés (plazo fijo moneda nacional) 980.I 98.IV 983.III 98.II 987.I 988.IV 990.III 992.II 994.I 99.IV 997.III 999.II 200.I 2002.IV 2004.III 2

22 % /% 9 R 4 * C% %HI$ % #$$@D %HI$%#$$=> %2 *M/' C'*/D == ) 6OJ 0 : B 9 B! $$@ %$ =@@QQQ H % $=# %$ =JJQQQ H % 2 %$> I =$JQQQ L % '# C! %%> J % ; 6 ;4 QQQQQQ 4 %$&@&%& C D % 4 4 C D ) C D '*/ % 4 B C D % + 9 CB6D 4 == ' 42 22

23 4 0 3 => %$ 3 0 ;'+ 4I C D C D =@ 9 ;'+ 9 = #= > ;'+C@D 9 2 6OLI 4 ' %& 4 4 C@& 4 D* %& 4 # 6 4 B 9 4 => ) ' 42 =@!. 'MM N4 23

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log( M/ IPC) = β + β log( PIB ) + β log( i ) + β T + δ SD + ε t 0 t 2 t 3 j j t j= 2 4 * log( M / IPC) t = γ 0 + γ log( PIBt ) + γ 2 log( it ) + γ 3T + λ jsd j + vt j= 2 6 $#L%L@L #I@>$H #@@> =$=> #66 $#>IL=J #@L=HI %IHJ #=J@ # $$>L>L> >=LL>> %##@ %J#J 24 # QCQQD 24 % 24 # CD CD@& %& 24 %& C#%D 3 6OH %$ 4

25 lo g ( M / IP C ) = lo g ( P IB ) 0 lo g ( i ) T C##D * log( M / IPC ) = log( PIB ) 023log( i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

26 )9/ C%HHID log( M / IPC) = log( PIB) 832π -3 log( M / IPC ) = log( PIB) 0 46 log( i) 0 007T! 3 * ' 9 '*/ =J %$ / M! 4 4 %$ + % ' 4 ' ) ! 36 Para un análisis más detallado del resultado de este contraste véase Fried y Trujillo (200) 26

27 4 4 4 R + =L B C4D ' C D 4 9 ;!2 C@ D! %& 2 ( ' 4 B '2 C D C D 4 37 ngle R.F.; Hendry D.F..; Richard J.F. (983) xogeneity. 27

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30 # = %>B =#&=L& #>& #J& #O ' =H B = 9 %HI#I= # %HH% %HI# C G KD M* &- C9CD %>%HI#$@=> %HI= $ %HH% & F9 $ #%HH%% 9 %&' #$$# % ' 4% %7 %76 + # $I$ $I# ==& =#& * C D * >$ =H ;-43(3!C%HL@DG.? K >$ )*2C%HH%D 2 % *2 % %HI=%HH$ >H&>I& 9 / C%HHHD%HI=%HHI 30

31 ' 4 =& ) >% ># 4 %7 9 * N # * / %$& N 4 / 4 * G G %7$ (+ 4 2!7 =@& - 3 C#$$=D %HI$#$$# =L& 2 % >% + ) *R C%HH@D %=& ># ' R'C%HH#D =>& 3

32 %77 4 %77 C D 4! 2 % 6O%$ >= %HH=> #$$$% 6!)9)2!)9)2 >> C6O%%D. 2 D9 )* (( :/ R e c u rs ive R e s id u a ls ± 2 S.. D9 )**A/ CUSUM of Squares % Significance CUSUM % Significance 43 +/- 2 desviaciones estándar para cada punto que es la especificación por defecto que surge del programa views. 44 Brown Durban y vans (97) 32

33 9 4 C6O%#D* D9 )*9 ( :/ T érm in o d e c o rre c c ión d e e rro r ± 2 S.. P IB ± 2 S P IB (- ) ± 2 S.. I ± 2 S I(- ) ± 2 S..! >@ ' 9 C!)9)2D D9 )$* (( :/# : Recursive Residuals ± 2 S CUSUM % Significance >@ R %HH% ;? 33

34 2 % Q 9 6O%>%@ %J D9 )7* (( :/ Recursive Residuals ± 2 S.. D9 )<*A/ CUSUM of Squares % Significance CUSUM % Significance 6 4! 6O%L 34

35 D9 )2*9 ( :/ Término de corrección de error ± 2 S.. PIB ± 2 S PIB(-) ± 2 S.. I ± 2 S I(-) ± 2 S Recursive Residuals D9 )3G (( : /C(A : ± 2 S.. CUSUM % Significance 3

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38 %7< + 0! C%HJHD >J * * ' 3 [ F & 3 4 & 9 3 & 3 & 3 6O%I%H 9 > ) ! ;? 4 46 Granger C. W. J. (969) Investigating causal relations by econometric models and cross-spectral methods. 38

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

47 $* O & & :Z*2'6*Z672 %( 9 '8 / $$IHI C%I=D $LJ@%! $$IHI % $LJ>> 6R9 # B /P0 %( %_*73C.!D $$#$# $$JLJ= + 7G O& G & 6 :Z*2'6*Z'9(Z672 %( 9 '8 / $==@@ C%I>D $@J>$! $==@@ % $@J#> 6R9 # B /P0 %( %_*73C.!D $$=I>> $$JJ= + HG' &D! 7 8-4& 9 *M C%HILD # p 2 2 xt t xt xt i t i= = α + β + γ + + µ C'%D H0 γ = 0 H γ < 0 CαD CD 6 α α β ( 47

48 9!9$B!$ t t t i t i= p x = α + βt + γ x + x + µ C'#D H 0 γ = 0 H γ < 0 α β!$ ρ ;? ρ C!. 'MM D 4I '*/ 4 3* # 7 #!$ C %D C;'+D xt = A xt + A2 xt AP xt p + ϑdt + ε C'=D t M!$ C= DF M4M F ρ CI D # C DF ϑ # 9;'+ C;!2D ρ x = Γ x + Π x + ϑ D + ε C'>D t j t j t t t j = Π 4 αβ` β 6 α β 4 CD 40 - G!.! ' 6 9 *KC%HH=D 48

49 4 [ λ traza n i= r + ^ ( r) = T ln( λ ) C'@D ^ ( ) T ln( r ) λ r r λ máx + = + C'JD ^ λ Π - ## $ 3 C%HILD!$ 2!7* y = β 0 + βx + β 2 x β x + ε C'LD t t t k kt t ' ^ ε!$ 4 *M/* * C 3 ]2\ D C 4D j= ς y = α + α y α y + β x β x + η SD + ε C'ID t 0 t ρ t ρ t ρ t ρ j j t j= t 0 t ρ t ρ t ρ t ρ j j t j= j= ζ x = γ + γ x γ x + δ y δ y + ϕ SD + ν C'HD ρ '# C'ID 3 & C'HD & 3 H ) β = β =... = β = 0 C'%$D ρ H ) δ = δ =... = δ = 0 C'%%D ρ 49

50 9 / F ρ n k β β = 0 0 i δi 0! δ i = 0 i! x y i i! y x 6 : ; ' +CD CD C2D! (C-D : t = T + ^ T + h 2 ( yt yt ) C'%#D RCM = h T + h t= T + ^ AM = yt yt / h C'%=D t= t+ ^ T + h yt y C'%>D t AMP = 00* / h y CT = T + h t= T + T + h ^ T + h 2 2 t + t t= T + t= T + 2 ^ yt yt / h y h y h t C'%@D t = T +... T + h ^ y y t t 0