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martes, 5 de enero de 2010

Viento de cola? (Anexo técnico)

Fuentes de los datos.

Emae: INDEC
CRB: www.crbtrader.com
Spreads: Barclays Capital
Términos de Intercambio: WEO de FMI (los datos son anuales están interpolados para que sean mensuales)

Estimaciones (o regresiones realizadas)

Las estimaciones de largo plazo son del tipo (1),

Las estimaciones de corto plazo son del tipo (2),

donde dln() hace referencia a la diferencia en logs naturales de la variable y EC hace referencia al término de corrección de error proveniente de la ecuación de largo plazo mostrada anteriormente. Están chequeadas las condiciones que verifican que hay cointegración entre las variables y entonces existe una relación de largo plazo entre ellas.

Párrafos con explicación técnica.

Lo que agregan las variables (de contexto externo e interno) a la explicación de cambios en la variable de actividad económica se obtiene de realizar regresiones iniciales con las variables de contexto externo únicamente y luego agregar a la de contexto interno. Las regresiones para el largo plazo son del estilo de (1), mientras que las de corto plazo son del estilo de (2), agregando y quitando variables.

Resultado de las principales estimaciones

Por ahí lo más raro de este ejercicio resulte que en períodos de corto plazo, el riesgo país va con sentido contrario al pensado. Es decir, sube el riesgo país un mes antes y sube el emae luego, aunque la relación es débil solo significativa al 10%. Mucho, en el corto plazo, está explicado por el retorno de estas variaciones a su posición de largo plazo.

Esta análisis es precario y por eso quizás caben muchas discusiones metodológicas pero intenté hacerlo lo más simple posible por eso la precariedad. Es sólo el intento de dar un análisis inicial y nada muy contundente. Ante cualquier duda dejar un comentario.

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