Publication: Inestabilidad de la demanda de dinero y comportamiento del modelo monetario para la peseta
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1997
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Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
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Abstract
Este trabajo estudia la capacidad del enfoque monetario para explicar el comportamiento a largo plazo de los tipos de cambio bilaterales entre la peseta y las monedas de los países del G-7 y Suiza, durante el periodo de tipos de cambio flexibles. Utilizo el método de Granger y Engle (1987) para verificar la existencia de una relación de cointegración entre el tipo de cambio , la oferta monetaria y la producción real. Al igual que en trabajos anteriores encuentro muy poco apoyo para el modelo monetario en la muestra total (1970-1993). Sin embargo, utilizando el contraste de inestabilidad paramétrica de Gregory y Hansen (1996), se detecta evidencia de inestabilidad tanto en las ecuaciones del tipo de cambio como en uno de los comonentes principales del modelo, la ecuación de demanda de dinero. Los puntos de corte estimados para la ecuación de demanda de dinero son utilizados para definir submuestras más estables en cada relación bilateral, en las que volvemos a reestimar el modelo monetario del tipo de cambio. Los resultados indican que en las submuestras estables existe más evidencia favorable al modelo monetario, siendo las perturbaciones nominales las más relevantes para explicar el comportamiento a largo plazo de los tipos de cambio.
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