Un Análisis del Comportamiento del Tipo de Cambio Real en Chile

The main goal of the present paper is to estimate the equilibrium real exchange rate path for Chile using a simple model for the 1977.I – 2003.III period. Using cointegration techniques, we find a cointegrating relationship between the real exchange rate (RER) and its fundamentals —that is, sectoral productivity differentials, the ratio of net foreign assets to GDP, the terms of trade and public absorption. Among our main results, we have: (a) the estimates of the RER equation are qualitatively similar whenever we used the RER index TCR-5 or TCR total (which includes emerging economies in the basket of countries). (b) The real depreciation of the Chilean peso in the 1980s is mainly attributed to a greater net external indebtness in the country and to lower levels of public spending during periods of fiscal adjustment. (c) The real appreciation of the peso during 1990-97 is explained by an improvement in the net foreign asset position of Chile and growth in the relative productivity of the traded sector. (d) The model predicts poorly the movements in the 1998-2002 period. The only forces that predict a depreciation of the Chilean peso during this period are the decline in the terms of trade and the net foreign asset position.