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Tipo de cambio real de largo plazo en Argentina: 1961-2017

José Luis Espert () and Guido Vignoli ()

No 630, CEMA Working Papers: Serie Documentos de Trabajo. from Universidad del CEMA

Abstract: A través de un VECM, para el periodo 1961-2017 en Argentina, encontramos cointegración entre el Tipo de Cambio Real y cuatro variables fundamentales: Activos Externos Netos, Gasto Público, Términos del Intercambio, y Productividad. Definiendo al Tipo de Cambio Real Multilateral como los precios domésticos en dólares hallamos una relación positiva con sus fundamentals a excepción de los Términos del Intercambio. El modelo anticipa las grandes devaluaciones ocurridas en 1975 (Rodrigazo), 1981 (Martínez de Hoz), 2002 (fin de la Convertibilidad) y la de 2015 (fin del cepo cambiario). La velocidad de ajuste del error (misalignment) es de 30% anual. Finalmente, para el periodo 2012-2017 el modelo estima un desequilibrio (apreciación real) promedio de 15% anual. Through a VECM, during 1961-2017 in Argentina, we found cointegration between the Multilateral Real Exchange Rate and four fundamental variables: Net Foreign Assets, Public Expenditure, Terms of Trade, and Productivity. Defining the Real Exchange Rate as domestic prices in dollars, we estimate a positive relationship with its fundamentals except for the Terms of Trade. The model anticipates the large devaluations that occurred in 1975 (Rodrigazo), 1981 (Martínez de Hoz), 2002 (end of the Convertibility) and 2015 (end of the “cepo cambiario”). The speed of adjustment is 30% per year. Finally, during 2012-2017 the model estimates an average misalignment (real appreciation) of 15% per year.

Keywords: Argentina; multilateral real exchange rate; net foreign assets; public expenditure; terms of trade; productivity; VECM (search for similar items in EconPapers)
JEL-codes: C13 F14 F31 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2018-06
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