Archive for economics

El Milagro Matemático del BCR (19-XII-09)

Posted in 12 - Diciembre with tags , , , , , , , , , , , , , , on December 19, 2009 by Farid Matuk

Producto Bruto Interno desestacionalizado

Producción de electricidad desestacionalizada

En la Nota de Estudio del BCR #63 correspondiente a la Actividad Económica a Octubre 2009, publicada el 18 de Diciembre de 2009, se publican las tablas copiadas arriba en las páginas 3 y 4 respectivamente.

Loa gráficos que acompañan ambas tablas muestran una abrupta reducción en el mes de Junio de 2009, pero las tablas muestran una coincidencia que resulta inusitada, el valor del mes de Junio se repite para la variación desestacionalizada del mes anterior así como para la variación no desestacionalizada del año anterior.

En el caso del Producto Bruto Interno se tiene 2.3% de reducción en Junio 2009 respecto a Mayo 2009, y el mismo 2.3% de reducción en Junio 2009 respecto a Junio 2008. Similar fenómeno se repite para la producción de electricidad, donde la cifra de 2.8% de reducción en Junio 2009 respecto a Mayo 2009, se repite para la reducción de Junio 2009 respecto a Junio 2008.

Este milagro matemático, equivalente a ganar la lotería dos veces con los mismos números puede tener una explicación menos milagrosa, la cual únicamente se puede intuir porque los programas de desestacionalización del BCR no son de naturaleza pública.

En el programa de cómputo para desestacionalizar estas series de tiempo, se ha introducido una variable artificial en el mes de Junio de 2009 que impone una igualdad entre la serie original sin desestacionalizar, con la serie desestacionalizada; que en ambos casos corresponde al valor mas bajo de la serie original.

El propósito detrás de la creación de esta variable artificial en Junio 2009, es para obtener tasas de crecimiento contra intuitivas desde Junio 2009 en adelante. En el caso concreto del PBI se tiene un incremento de 6% en los cuatro meses transcurridos hasta Octubre 2009, y en el caso de la electricidad se tiene un incremento de 5% hasta Noviembre 2009.

Lo que tenemos en el BCR, es una fábrica de optimismo para una realidad económica que produce más pobreza y más desigualdad; en un contexto de crisis internacional.


Cointegration, Dependency and Manufacturing (24-IV-09)

Posted in 04 - Abril, Año 2009 with tags , , , , , , , , , , , , , , , , , , , , , , , , , , on April 24, 2009 by Farid Matuk

Chile - USA (1981-2008)

Chile - USA (1981-2008)

Peru - USA (1981 - 2008)

Peru - USA (1981 - 2008)

These graphs show –for a naked eye- a similar cycle over time, besides differences on timing and amplitude, there is a similar number of boom and boost processes. A first question to analyze is the existence of cointegration between those series, and if the answer is affirmative to evaluate the dependency of some from one.


Cointegration concept comes from econometrics and it is related to time series which evolve over time in a similar pattern, cointegration does not imply causality between the variables analyzed, it implies a similar concept of parallel lines in geometry.


On the other side dependency theory in economics, implies the existence of a center and a periphery, equivalent to solar system in astronomy, the planets does not have exact orbits, but they are not comets drifting on the outer space. The dependency concept tells of an economy that is the center for periphery economies, which essentially are tied up to the evolution of the center.


This note founds that Chile and Peru manufacturing sector are periphery economic activities to the USA industrial sector on the long run, obviously in the short run a periphery sector may drift away, but sooner or later return to its orbit. A simulation is run from August 2006 up to December 2008, when Peru has a new presidential tenure in July 28th 2006, which shows a Peru industrial sector drifting-up, and then a forecast is made to evaluate how much economic contraction will face Peru to be back on track.


The monthly series are taken from International Monetary Fund’s International Financial Statistics Compact Disk disseminated March 2009. Only series from Chile and Peru are chosen from South America due lack of availability for other countries, only USA series will be taken from 24 advanced economies (IMF lingo), as center country. The series start in January 1979 because Peru is the constraint, until December 2008 because is most recent available data from USA. The codes are […66EY.ZF…] for Chile and Peru, and […66…ZF…] for USA; which is available here.


A first step is taking logarithm of each series, then to evaluate the existence of unit root for each one, which is accepted. A cointegration test between Chile, Peru and USA is rejected with zero lags, but a loop from 1 to 60 lags is run to find 12 lags (a calendar year) as appropriate to accept cointegration between the analyzed variables. The evaluation is constraint until July 2006, since Peru has a new presidential tenure since August 2006.


Two approaches were tried to model the dependency of Peru and Chile to USA. The unsuccessful one was an Error Correction Model (ECM) which shows a strong equilibrium relationship between Peru and Chile, but the equilibrium error component was nil for Chile equation and strong for Peru; but in any circumstance was possible to reject a null hypothesis for USA inclusion in the equilibrium relationship or in the equilibrium error.


The second and successful approach was a Vector Autoregressive (VAR) model with USA as exogenous component. The lag period was 12, since this length was found as adequate on the cointegration analysis described above. The computer code in RATS is here, and the output results are here.


The first null hypothesis tested for no relation between Chile and Peru is rejected for each equation and therefore the naked eye observation was correct. A second set of null hypothesis for each USA coefficient being zero in both equations is carried out, to find them rejected and to conclude that USA industrial sector has influence on Chile and Peru manufacturing sector, in the impact multipliers. A third set of null hypothesis for equilibrium multipliers of USA being zero is carried out, to find them accepted; this unexpected outcome is interpreted as neutrality on the long run of the level of USA industrial activity for Chile and Peru manufacturing sectors, only if USA variable become constant which never have been observed. A fourth set of null hypothesis for equilibrium unitary elasticity between Chile and Peru is carried out, to find them rejected; this outcome allows concluding that USA individual shocks in Chile and Peru become permanent for the level of manufacturing activity.


Those four sets of null hypothesis are re-run with a Seemly Unrelated Regression (SUR) model with similar specification in order to evaluate cross equation restrictions. The previous four null hypotheses are evaluated and similar conclusions are obtained. The fifth null hypothesis of USA impact coefficients with similar values vis-à-vis for Chile and Peru is carried out, to find them rejected; this outcome allows concluding differentiated short run impact between Chile and Peru, nevertheless for both countries the equilibrium multiplier for USA is zero. Finally, a sixth null hypothesis for null intercept in Chile and Peru is carried out and accepted; this outcome allows to conclude that long run average level of manufacturing in Chile and Peru is the long run multiplier of Peru and Chile –respectively- multiply by the average level of industrial activity in USA.


The third and sixth null hypotheses are imposed in a new estimation on the SUR model in order to produce a forecast outside the boundaries of the estimation, which are January 1979 and July 2006. The forecast values are plotted in graphs for Chile and Peru showing an interesting feature which differentiates Chile and Peru; while Chile forecast values are close to observed values, Peru forecast values are systematically below observed values.


A first econometric conclusion is the existence of cointegration between Chile, Peru, and USA. A second econometric conclusion is the dependency of Chile and Peru with USA which is coherent with the economic dependency theory. A third conclusion is Chile manufacturing sector is on track, and its contraction will mirror USA industrial contraction. A fourth conclusion is Peru manufacturing sector is off track, and its contraction will be more than proportional to USA industrial contraction.



Chile Forecast (August 2006 - December 2008)

Chile Forecast (August 2006 - December 2008)

Peru Forecast (August 2006 - December 2008)

Peru Forecast (August 2006 - December 2008)

Chile and Peru gap between observed and forecast values

Chile and Peru gap between observed and forecast values

Sat Nov 30, 2002 2:05 pm

Posted in 2002-11 Noviembre with tags , , , , , , , , , on January 24, 2009 by Farid Matuk

La dolce vita: Is Peru’s feelgood factor spreading?
By Jude Webber

PACHACUTEC, Peru, Nov 29 (Reuters) – President Alejandro Toledo
boasts that more Peruvians are going to the movies — a sure sign,
he says, that improving gross domestic product statistics mean la
dolce vita (the sweet life) is spreading.

Economists call it the trickle down effect — and trickle is the
word, say residents in Pachacutec, a sprawling shanty town of straw
and wood huts on the sandy hills sloping up from the Pacific Ocean
at the northern fringe of Peru’s capital.

“Things are gradually getting better. Two months ago I didn’t
have a job. Now I have some work … It’s not great but I can pay
for my daughter’s school,” said construction worker Emerson
Reategui, 42, on his way with a sheaf of documents to apply for
official property rights to his shanty town home.

“We’ve got to give Toledo more time to work. He’s made a lot of
promises. In Pachacutec we feel he’s keeping them slowly — but he
is keeping them in things like property rights, which he’s starting
to give, and job projects,” said Carlos Ricaldi, 28, in his small
but well-stocked store. “I see progress.”

Toledo, who took office in July 2001 promising more jobs and
prosperity, hails Latin America’s No. 7 economy as the region’s
darling this year, saying international markets made their feelings
plain by clamoring for a $500 million bond that Peru sold this week
to raise cash to plug its budget deficit.

Although the issue meant Peru beefing up its borrowing just as
Argentina’s multiple debt defaults and Brazil’s ability to manage
its $260 billion public debt have worried markets, economists were
cheered by the relatively cheap interest rates it won.

Peru expects its 2003 debt servicing costs to rise to $2.2
billion from around $2 billion now, but trumpets its nearly $10
billion in international reserves as a sign of solidity.

Indeed, the government is so delighted with the health of the
economy — illustrated by ever rosier performance reports, including
an official September growth figure of 7.3 percent — that it has
jacked up its 2002 GDP growth target to 4.2 percent from a previous
3.7 percent.

The acceleration comes after four years of economic woes and
political strife. GDP grew just 0.2 percent last year.
And the head of the government’s National Statistics Institute
said this week even those glowing figures were still too low. Farid
Matuk said methodology problems meant Peru had been “systematically
underestimating” its data for years.

Peru is hoping to parlay the good news into closer trade ties
when U.S. Commerce Secretary Don Evans visits next week.

Toledo never tires of telling voters — many of whom are
underwhelmed by his progress in creating jobs in a nation where more
than half the people live on $1.25 a day — that he has sacrificed
his popularity for the sake of economic prudence.

The U.S.-trained business school professor, whose approval rating
has climbed nearly 10 points recently but is still only around the
mid-20s in polls, told reporters this week that rises in the numbers
of moviegoers, cellphone users and supermarket sales showed an
increasing feelgood factor.

“You may ask what (the economy) has got to do with the cinema?
Well, if you’ve got a job, you can go to the movies more,” he
said. “The economy is becoming more dynamic, people are buying more.
It’s slow but things are improving.”

At Peru’s top business forum this week, a partner at a
headhunting firm said trade was picking up, and executives said the
labor intensive construction sector was in full recovery.

But Peru is a country of big contrasts — only one in five people
in Lima do their shopping in supermarkets, as opposed to local
markets, and the gap between rich and poor still yawns.

“The levels of inequality have increased. There is more, but not
more for everyone,” Matuk said.
Elmer Cuba, economist at private consultancy Macroconsult, said
things were picking up slowly “but we still need stronger and more
sustained growth for real salaries to grow, and that process is
going to take years.”

Back in Pachacutec, one measure of quality of life is whether
residents still have plastic drums outside their homes and have to
wait for the water truck to trundle past or whether they can hook up
to new standpipes on their dirt streets.

Residents said European aid agencies or American evangelists, not
the government, had brought the water.
But they credit the government — which says it has created
160,000 jobs in state temporary work schemes — with giving them
jobs as street cleaners and park builders.

“I feel a bit better. Not that much, but I’m less afraid of where
I’m going to get food from than I was before,” said Angelica Azteca,
a 28-year-old housewife and mother-of-three, who spends 15 soles
($4.30) a day on food for her family.

But others were gloomier. “I feel just the same — it seems my
pockets are full of holes. Money goes in and out like water,” said
Luz Malaga, 54. “I think Toledo has good intentions, and that he’s
trying to do something. But don’t they say the road to hell is paved
with good intentions?”

(Additional reporting by Tania Mellado, Eduardo Orozco)
((Lima newsroom, tel: +511 221 2130, fax +511 221 2133, e-mail: