merlin i dr. luis miguel galindo. “like long-term weather forecasts, they (economic forecasts) are...
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MERLIN IMERLIN I
Dr. Luis Miguel Galindo
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“Like long-term weather forecasts, They (economic forecasts) are better than nothing… but their origin lies in the extrapolation from a partially known past, Through an unknown present, to an unknowable future according to theories about the causal relationships between certain economic variables which are hotly disputed by academic economists and may in fait change from country to country or from decade to decade”
Healy, 1990.British Chancellor of the Exechter
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• Modelo general
• Especificaciones por bloques: cambio estructural, errores, etc.
INTRODUCCIÓN
Dr. Galindo
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(1.1)
(1.2)
INVERSIÓN
Dr. Galindo
ktktjtjjjtjt ZYKyKK 11 )(
ktktjtjjtjt ZYyJ 12 )(
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Stock de capital:
(1.3)
(1.4)
= Tasa de depreciación
INVERSIÓN
Dr. Galindo
KK
KK
1)1(
tttKK
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Evidencia empírica: 2.5% de aumento de la demanda va a inversión
Relación estable:
Dr. Galindo
ECM: INVERSIÓN
K
Y
Y
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Variación de inventarios
(2.1)
(2.2)
(2.3)
Dr. Galindo
INVENTARIOS
ttt INVDY
ttt DINVY
Y
D
Y
INV
Y
Y
tt
t
2
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Es procíclico
Factores determinantes:
1 Decisión voluntaria basada en expectativas sobre fluctuaciones
2 Buffer stock
Dr. Galindo
INVENTARIOS
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Ecuación aplicada:
(2.4)
β0 mide la relación contemporánea entre inventarios y crecimiento económico
Dr. Galindo
INVENTARIOS
itititYINVINV
1
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β0 < 0 Buffer Stock
β0 > 0 amplificación del efecto
i > 0 yi > -o efecto acelerador
La ecuación no funciona bien (no incluye expectativas)
Dr. Galindo
INVENTARIOS
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(3)
Riqueza:
La inclusión de la riqueza disminuye la sensibilidad del consumo al ingreso
Imponer la restricción de que los coeficientes de ingreso y riqueza suman uno
La inclusión de la riqueza es satisfactoria desde el punto de vista teórico pero no ayuda mucho a mejorar los pronósticos
Dr. Galindo
CONSUMO
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La tasa de inflación:
1 Mayor inflación esperada aumenta el consumo actual
2 Mayor inflación disminuye los balances reales de los consumidores
Domina el segundo efecto
Este efecto ya está capturado en la riqueza financiera
Dr. Galindo
CONSUMO
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La tasa de interés:
Efectos: substitución, ingreso y riqueza
El efecto dominante es una cuestión empírica
Utilizar tasa de interés real
Distinguir entre tasa de interés de plazos
Dr. Galindo
CONSUMO
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(4.1)
(4.2)
Dr. Galindo
BALANZA COMERCIAL
1111 )( ttititiT SRyMSRyIMIM
11110 )( ttititit SRYXSRyXXX
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Incluir T en importaciones para medir la mayor apertura de la economía (IM/Y)t
Incluir T en exportaciones para capturar el efecto de la participación en el mercado asociado a factores distintos del precio.
Incluir restricciones de oferta
Dr. Galindo
BALANZA COMERCIAL
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Dr. Galindo
Empleo es función de la actividad y de los costos reales
(5)
El empleo sigue al nivel de actividad con un rezago
EMPLEO
TpwYEpwyEE titititit )(( 5110
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Dr. Galindo
El empleo crece menos que el producto debido a las ganancias en productividad
T representa el progreso técnico
El empleo ajusta a su nivel de equilibrio con rezagos pero más rápidamente que el capital
EMPLEO
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Dr. Galindo
EMPLEO
Empleo y progreso técnico
(5.2)
b>0 mide la trayectoria de crecimiento de la productividad per capita.
bTt
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Dr. Galindo
Opciones:
1. El empleo depende del producto con elasticidad unitaria y de una tendencia asociada al progreso técnico:
(5.3)
Consistente con una función de producción invertida
Consistente con la hipótesis de un stock de capital constante y de rendimientos constantes donde los factores productivos son complementarios
EMPLEO
ttt YE
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Dr. Galindo
2. El empleo se determina en forma consistente con la función de maximización de ganancias de las empresas y donde existe una elasticidad de substitución constante entre las empresas:
Los salarios reales crecen con la productividad
(5.4)
EMPLEO
)( ttttt wRYE
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Dr. Galindo
Despejando utilizando (5.2):
(5.5)
El coeficiente de la tendencia no representa el crecimiento per capita de la productividad (b)
La inclusión de los salarios implica que el coeficiente de tendencia no representa el progreso técnico
EMPLEO
ttt wRbTYE )1(
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Dr. Galindo
3. Suponiendo en la ecuación (5.4) que entonces la variable de progreso técnico desaparece de modo que se supone que la participación de los salarios se mantiene constante
(5.6)
EMPLEO
ttt wRyE
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Dr. Galindo
Los precios y los salarios se determinan en forma conjunta dado su nivel de interdependencia
Los salarios se negocian considerando la inflación pasada y la esperada
Los precios se determinan por estos mark up donde los costos laborales son fundamentales, por los impactos del exterior y por el impacto de la demanda en el mark up
Existe inercia en precios: price stickiness, infrecuencia temporal de contratos, comportamiento estratégico de determinación de precios en mercados imperfectos
PRECIOS Y SALARIOS
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Dr. Galindo
Precios de oferta:
(6.1)
Donde:
precios al productor
PRECIOS Y SALARIOS
tito
itiitio
itiot z)ucP(cyclosucPP
otP
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Dr. Galindo
uct = costos unitarios de producción
cyclost = indicador de las condiciones cíclicas de la economía
zt = vector de otras variables explicativas
uct= incluye costos laborales y costos de bienes intermedios
PRECIOS Y SALARIOS
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Dr. Galindo
Propiedad de homogeneidad estática: elasticidad unitaria de precios a costos
Los coeficientes i y i capturan el ajuste de los precios a los costos
La restricción dinámica homogénea: 1-Σi=i implica que los precios y los costos están completamente indexados
PRECIOS Y SALARIOS
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Dr. Galindo
Pocos rezagos implica que los agentes forman sus expectativas de inflación en forma consistente (indexación)
Variables cíclicas: Tendencias o primeras o segundas diferencias de las variables
PRECIOS Y SALARIOS
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Dr. Galindo
Precios de demanda: Los precios de demanda pueden considerarse determinados como un sector de distribución entre los precios al productor y los precios de las importaciones
(6.2)
La condición de homogeneidad estática +2 = 1
PRECIOS Y SALARIOS
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Dr. Galindo
Salarios:
Modelar una ecuación promedio y las sectoriales con dummys de constante o tendencia
Curva de Phillips:
(6.3)
PRECIOS Y SALARIOS
t1titiitit zunPww
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Dr. Galindo
wt = salario nominalPt = índice de precios al consumidorunt = tasa de desempleozt = incluye precios de importaciones
> 0 bajo desempleo implica un aumento de salarios nominales
PRECIOS Y SALARIOS
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Dr. Galindo
Curva de Phillips aumentada:
Los trabajadores incluyen sus expectativas de inflación (Pt-i)
Ho: No existe ilusión monetaria:
Los salarios están completamente indexados a los precios aunque con rezagos. Ello es evidencia en contra de la curva de Phillips
PRECIOS Y SALARIOS
ii1
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Dr. Galindo
Incluir ut en el caso donde el mercado de trabajo es del tipo “inside-outsider” donde las demandas salariales de los “insiders” protegidos no están determinados por la tasa de desempleo e influye más el cambio de la tasa de desempleo que captura el efecto de la probabilidad de pérdida de trabajo
Otras variables: Salario mínimo, salarios del sector público, impuestos y episodios particulares
Estas ecuaciones no son muy robustas
PRECIOS Y SALARIOS
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Dr. Galindo
Curva de salarios:
La curva de Phillips es criticada porque sólo muestra el ajuste de los salarios en el caso que el mercado laboral está fuera del equilibrio: Exceso de oferta reduce los salarios. No incluye que el desempleo modera las demandas salariales al incidir sobre la probabilidad de pérdida de trabajo
Teorías modernas (efficiency wages y negociación). Incluye una curva de salarios
PRECIOS Y SALARIOS
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Dr. Galindo
(6.4)
t = productividad laboral
> 0
PRECIOS Y SALARIOS
ttt0tt unzPw
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Dr. Galindo
Con a = 1 los cambios en productividad se reflejan completamente en los salarios
(6.5)
PRECIOS Y SALARIOS
1t0titiit1t )unzPw(zPww
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Dr. Galindo
Tasa de desempleo de equilibrio:
NAIRU: Non-accelerating inflation rate of unemployment es la tasa de desempleo compatible con una inflación estable
PRECIOS Y SALARIOS
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Dr. Galindo
La NAIRU se deriva como:
(7.1)
(7.2)
zt = captura variables que representen presiones inflacionarias
Relación [Pt-wt]
PRECIOS Y SALARIOS
tttst zwP
'
11 tttt zunPw
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Dr. Galindo
Diferenciando (7.1):
(7.3)
(7.4)
PRECIOS Y SALARIOS
tttot zwP
tott PP
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Dr. Galindo
t= Diferencia entre precios consumidor y productor (importación o impuestos indirectos)
(7.5)
Substituyendo (7.5) en (7.3):
(7.6)
PRECIOS Y SALARIOS
tott PP
ttttt zwP
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Dr. Galindo
Substituyendo (7.6) en (7.2):
(7.7)
(7.7) NAIRU
PRECIOS Y SALARIOS
)( '
* ttttt
zzUN
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Dr. Galindo
NAIRU es inversamente proporcional a la sensibilidad de salarios a desempleo y aumenta con la diferencia entre el salario medio demandado () y las ganancias en productividad
Con Estima la demanda sin presiones inflacionarias
PRECIOS Y SALARIOS
tt unun*
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Dr. Galindo
NAIRU con sólo productividad
Con
Cont = 0
(7.9)
PRECIOS Y SALARIOS
:0' ttt zz
)(* t
tUN
*
tUN
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Dr. Galindo
Desempleo de equilibrio: Combina ecuación de precios al productor en niveles con una curva de salarios:
(8.1)
(8.2)
(8.3)
Substituyendo:
PRECIOS Y SALARIOS
tttot zwP
tott PP
ttttt unzPw '
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Dr. Galindo
(8.4)
Las variables están en niveles
Incluye más variables (z, z’)
Equivalencia NAIRU vs
Válido con homogeneidad dinámica en las ecuaciones de precios y salarios.
PRECIOS Y SALARIOS
)( ' zz
UN eqt
:?eqtUN
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MERLIN IMERLIN I
Dr. Luis Miguel Galindo