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martes, 5 de enero de 2010

Viento de cola??

Con las lecturas de verano vienen las dudas de verano. Estaba leyendo este libro de Eduardo Levy Yeyati y Diego Valenzuela (libro que recomiendo enfáticamente, se lee rápido y tiene datos interesantes que no recordaba) y uno de los mayores debates de la poscrisis es como siempre quién es el gran responsable de la recuperación del 2003-2006 (que es hasta donde llega el libro pero podríamos extenderla hasta 2008). Mucho se habló de esto en la BEA (blogsfera económica Argentina para los que no son de por acá), más que nada recuerdo algunos posts de Elemaco. Intento dar algunos datos únicamente y que el lector considere la conclusión de los datos. Para los más detallistas, acá hay un apéndice de datos y metodología un poco más técnico (de paso, están chequeadas que las relaciones de largo plazo no sean relaciones espurias).

Lo que usé básicamente fue una variable proxy del nivel de actividad en Argentina (el estimador mensual de actividad económica), una variable proxy de políticas propias o interiores (el riesgo país) y dos variables del contexto externo (el índice CRB de commodities y los términos de intercambio). Obviamente el análisis es bastante superficial pero me parece que da un buen pantallazo de lo que pasó en 2003-2009 para que cada uno tome unas conclusiones particulares al menos iniciales. Todas las variables son mensuales y los datos van desde Enero 2003 hasta Septiembre 2009. Probablemente haya alguna otra variable para medir las políticas internas de una mejor manera pero es un análisis inicial.

Imagen número 1: Estimador Mensual de Actividad Económica (emae), Riesgo País (Spreads), CRB y Términos de intercambio (tot) todo en logaritmos naturales. Las últimas tres un mes atrasado con respecto al emae.

Como muchos saben, este ejercicio plantea relaciones de largo plazo. Obviando detalles técnicos, las variables de contexto externo (el índice crb y los términos de intercambio) explican un 86.5% de las variaciones del EMAE, mientras que la variable que hace de proxy para el contexto interno del país explica un 1%.

Ahora me gustaría hacer el mismo ejercicio para relaciones de corto plazo entre una proxy de actividad económico y variables internas y externas. En este caso, el contexto externo explica un 1% de las variaciones del EMAE y la agregación del riesgo país explica un adicional del 6% del EMAE.

Estos dos últimos párrafos son detallados en el Anexo estadístico.

En mi opinión particular hay algo claro a primera vista (que es lo único que posibilita este análisis precario), el rumbo principal de la recuperación está marcado por el contexto externo y las desviaciones de corto plazo están marcadas débilmente por el contexto interno.

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