NDLI: Modelos autorregresivos con umbral: estimando el pass-through del tipo de cambio a precios domésticos

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Modelos autorregresivos con umbral: estimando el pass-through del tipo de cambio a precios domésticos

Content Provider	Semantic Scholar
Author	Brufman, Juana Z. Trajtenberg, Luis. A. Donaldson, María Paula
Copyright Year	2017
Abstract	espanolEn este trabajo se indaga sobre la presencia de no linealidades en el traspaso (pass- through) del tipo de cambio al nivel de precios en nuestro pais. El trabajo analiza el periodo 1960-2012 y propone un modelo economico de descomposicion del proceso inflacionario argentino, en sus principales componentes estructurales: nivel de precios pasado, tipo de cambio, inflacion externa y brecha del producto. Para su formalizacion se trabajara con Modelos Autorregresivos por Umbrales (TAR, segun las siglas del ingles Threshold AutoRegressive). Dicho modelo incorpora impactos diferenciales de uno o mas regresores sobre la variable dependiente, en funcion del cumplimiento de determinadas condiciones que definen la existencia de escenarios diferentes, bajo los cuales se desenvuelve la dinamica del proceso estudiado. EnglishThis paper inquires about the presence of non-linearity in the exchange rate pass- through to price level in Argentina. We analize the inflationary process during the peri od 1960-2012, by decomposing it into its main structural components: past price levels, exchange rate, external inflation and output gap. To formalize it, Threshold AutoRegressi ve (TAR) models will be used. These models incorporatedifferential impacts over the dep endent variable from one or more explanatory variables, in compliance with certain c onditions that define the existence of different scenarios, under which the dynamics of th e process operates.
Starting Page	67
Ending Page	85
Page Count	19
File Format	PDF HTM / HTML
Alternate Webpage(s)	https://www.redalyc.org/pdf/462/46251257005.pdf
Language	English
Access Restriction	Open
Content Type	Text
Resource Type	Article

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