Volatilidad del precio del petróleo, gasto público y PIB en Ecuador
Abstract
Ecuador se convirtió en un país exportador de petróleo en los primeros años de la década de 1970. El presente estudio tiene como objetivo principal estimar el efecto de la volatilidad del precio internacional del petróleo sobre el nivel de gasto público y de PIB en Ecuador. Para ello, se emplea una metodología consistente en tres etapas, a partir de datos que cubren el período 2004-2019 en frecuencia trimestral. Primero, se construye la variable de volatilidad del precio del petróleo a partir de un modelo econométrico de Heterocedasticidad Condicional Autorregresiva Generalizada Exponencial (EGARCH). Luego, se estima un modelo de vectores autorregresivos (VAR) estándar en la literatura de política fiscal, añadiendo la variable de volatilidad previamente construida. Finalmente, se identifican los shocks estructurales aprovechando la condición de país precio-aceptante que tiene Ecuador en el mercado internacional del petróleo, y se computan las funciones impulso-respuesta. Los resultados muestran que la volatilidad del precio del petróleo tiene un efecto positivo sobre el gasto público, lo que implica que el gobierno de turno a lo largo del periodo de estudio no es prudente cuando hay variaciones bruscas en el precio del petróleo. La economía, medida por el PIB, disminuye ante shocks en la volatilidad, respaldando la hipótesis de que la volatilidad genera incertidumbre en los agentes económicos, y por esta vía, reduce el nivel de producción. En otras palabras, Ecuador no solo es vulnerable frente a los efectos del precio del petróleo, sino también ante su volatilidad. Una posible solución es la implementación de mecanismos que permitan reducir la exposición de la economía frente a periodos de volatilidad petrolera.
References
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Dimas de los Reyes, A. (2022). Políticas públicas implementadas por el gobierno de México: Efectividad en la economía. Revista Venezolana De Gerencia, 27(100), 1390-1404. https://doi.org/10.52080/rvgluz.27.100.7
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El Anshasy, A. A., & Bradley, M. D. (2012). Oil prices and the fiscal policy response in oil-exporting countries. Journal of Policy Modeling, 34(5), 605-620. https://doi.org/10.1016/j.jpolmod.2011.08.021
Elder, J., & Serletis, A. (2010). Oil price uncertainty. Journal of Money, Credit and Banking, 42(6), 1137-1159. http://www.jstor.org/stable/40784879.
Engel, E., & Valdes, R. (2000). Optimal fiscal strategy for oil exporting countries, IMF working paper no. 00/118, Washington, DC.
Eyden, R., Difeto, M., Gupta, R., & Wohar, M. E. (2019). Oil price volatility and economic growth: Evidence from advanced economies using more than a century’s data. Applied Energy, 233, 612-621. https://doi.org/10.1016/j.apenergy.2018.10.049
Fasino, U., & Wang, Q. (2002). Testing the relationship between government spending and revenue: Evidence from GCC countries, IMF working paper no. 02/201, Washington, DC.
García-Albán, F., González-Astudillo, M., & Vera-Avellán, C. (2021). Good policy or good luck? Analyzing the effects of fiscal policy and oil revenue shocks in Ecuador. Energy Economics, 100, 105321. https://doi.org/10.1016/j.eneco.2021.105321
Gavilanes, S. (2009). Efectos de Shocks de Políticas Fiscales en la Economía Ecuatoriana, Periodo 1990–2007. [Tesis de Grado, Escuela Superior Politécnica del Litoral, Guayaquil-Ecuador]. https://www.dspace.espol.edu.ec/handle/123456789/7671
González-Astudillo, M., Guerra-Salas, J., & Lipton, A. (2024). Fiscal consolidations in commodity-exporting countries: A DSGE perspective. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.4776777
Guerrero, R. & Trivino, M. (2004). El Rol de los Precios del Petróleo sobre la Economía Ecuatoriana. [Tesis de Grado, Escuela Superior Politécnica del Litoral]. http://www.dspace.espol.edu.ec/handle/123456789/530
Guo, H., & Kliesen, K. L. (2006). Oil price volatility and U.s. macroeconomic activity: Version 1 [Data set]. En ICPSR Data Holdings. Inter-university Consortium for Political and Social Research (ICPSR).
Hamilton, J. D. (1983). Oil and the macroeconomy since world war II. The Journal of Political Economy, 91(2), 228–248. https://doi.org/10.1086/261140
Hamilton, J. D. (2003). What is an oil shock? Journal of Econometrics, 113(2), 363–398. https://doi.org/10.1016/s0304-4076(02)00207-5
Hausmann, R., Powell, A., & Rigobon, R. (1993). An optimal spending rule facing oil income uncertainty (Venezuela). In E. Engel, & P. Meller (Eds.), External shocks and stabilization mechanisms. Washington, DC: Inter-American Development Bank.
Husain, A., Tazhibayeva, K., & Ter-Martirosyan, A. (2008). Fiscal policy and economic cycles in oil exporting countries, IMF working paper no. 08/253, Washington, DC.
Kia, A. (2008). Fiscal sustainability in emerging countries: Evidence from Iran and Turkey. Journal of Policy Modeling, 30(6), 957–972. https://doi.org/10.1016/j.jpolmod.2008.01.004
Kilian, L., (2010). Oil price volatility: origins and effects. Working Paper No ERSD- 2010-02. https://www.econstor.eu/bitstream/10419/57602/1/639727123.pdf
Lee, K., Ni, S., & Ratti, R. A. (1995). Oil shocks and the macroeconomy: the role of price variability. The Energy Journal, 16(4), 39-56. https://www.jstor.org/stable/41322616
Leigh, D., & Olters, J.-P. (2006). Natural resource depletion, habit formation, and sustainable fiscal policy: Lessons from Gabon, IMF working paper no. 06/193, Washington, DC.
Liu, J., & Serletis, A. (2023). Volatility and dependence in energy markets. Journal of Economic and Finance, 47, 15–37. https://doi.org/10.1007/s12197-022-09609-4
Liuksila, C., Garcia, A., & Bassett, S. (1994). Fiscal policy sustainability in oil-producing countries, IMF working paper no. 94/137, Washington, DC.
Machado, R., & Zuloeta, J. (2012). The impact of the business cycle on elasticities of tax revenue in Latin America (No. IDB-WP-340). IDB Working Paper Series.
MacKinnon, J.G. (1994). Approximate asymptotic distribution functions for unit-root and cointegration tests. Journal of Business and Economic Statistics, 12, 167-76. https://doi.org/10.2307/1391481
MacKinnon, J.G. (2010). Critical Values for Cointegration Tests. Queen’s University, Dept of Economics, Working Papers. Available at http://ideas.repec.org/p/qed/wpaper/1227.html
Marchese, M., Kyriakou, I., Tamvakis, M., & Di Iorio, F. (2020). Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models. Energy Economics, 88, 104757. https://doi.org/10.1016/j.eneco.2020.104757
Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica: Journal of the Econometric Society, 347-370. https://doi.org/10.2307/2938260
Oriakhi, D. E., & Osaze, I. D. (2013). Oil price volatility and its consequences on the growth of the Nigerian economy: An examination (1970-2010). Asian Economic and Financial Review, 3(5), 683. https://archive.aessweb.com/index.php/5002/article/view/1041
Pérez, J. J., & Hiebert, P. (2004). Identifying endogenous fiscal policy rules for macroeconomic models. Journal of Policy Modeling, 26(8–9), 1073–1089. https://doi.org/10.1016/j.jpolmod.2004.07.004
Peter, J. (1996). Oil price volatility and the macroeconomy. Journal of Macroeconomics, 18(1), 1–26. https://doi.org/10.1016/s0164-0704(96)80001-2
Pieschacón, A. (2012). The value of fiscal discipline for oil-exporting countries. Journal of Monetary Economics, 59(3), 250–268. https://doi.org/10.1016/j.jmoneco.2012.03.001
Rafiq, S., Salim, R., & Bloch, H. (2009). Impact of crude oil price volatility on economic activities: An empirical investigation in the Thai economy. Resources Policy, 34(3), 121–132. https://doi.org/10.1016/j.resourpol.2008.09.001
Regnier, E. (2007). Oil and energy price volatility. Energy Economics, 29(3), 405–427. https://doi.org/10.1016/j.eneco.2005.11.003
Sadeghi, A. (2017). Oil Price Shocks and Economic Growth in Oil-Exporting Countries: Does the Size of Government Matter?. International Monetary Fund. https://www.imf.org/en/Publications/WP/Issues/2017/12/22/Oil-Price-Shocks-and-Economic-Growth-in-Oil-Exporting-Countries-Does-the-Size-of-Government-45520
Shaxson, N., (2005). New approaches to dealing with the resource curse in sub-Saharan Africa. Royal Institute of International Affairs, 81, 311–324. https://doi.org/10.1111/j.1468-2346.2005.00452.x
Sims, C. A., Stock, J. H., & Watson, M. W. (1990). Inference in linear time series models with some unit roots. Econometrica: Journal of the Econometric Society, 113-144. https://doi.org/0012-9682(199001)58:1<113:IILTSM>2.0.CO;2-P
Steigum, E., & Thøgersen, Ø. (1995). Petroleum wealth, debt policy, and intergenerational welfare: The case of Norway. Journal of Policy Modeling, 17(4), 427–442. https://doi.org/10.1016/0161-8938(95)00018-O
Van der Ploeg, F., & Venables, A.J. (2009). Harnessing windfall revenue: Optimal policy for resource-rich developing economies, research paper 9, OxCarre, University of Oxford, Oxford, UK.
Villafuerte, M., & Lopez-Murphy, P. (2010). Fiscal policy in oil producing countries during the recent oil price cycle, IMF working paper no. 10/28, Washington, DC
Akinlo, T., & Apanisile, O. (2015). The impact of volatility of oil price on the economic growth in sub-Saharan Africa. British Journal of Economics Management & Trade, 5(3), 338–349. https://doi.org/10.9734/bjemt/2015/12921
Alley, I. (2016). Oil price volatility and fiscal policies in oil-exporting countries. OPEC Energy Review, 40(2), 192–211. https://doi.org/10.1111/opec.12074
Arezki, R., & Ismail, K. (2010). Boom-bust cycle, asymmetrical fiscal response and the dutch disease, IMF working paper no. 10/94, Washington, DC.
Blanchard, O., & Perotti, R. (2002). An empirical characterization of the dynamic effects of changes in government spending and taxes on output. The Quarterly Journal of Economics, 117(4), 1329-1368. http://www.jstor.org/stable/4132480.
Bollino, C. A. (2007). Oil prices and the U.S. trade deficit. Journal of Policy Modeling, 29(5), 729–738. https://doi.org/10.1016/j.jpolmod.2007.06.009
Cadena, J. P., Pinargote, H. M., & Solórzano, K. L. (2019). Mercado de valores y su contribución al crecimiento de la economía ecuatoriana. Revista Venezolana De Gerencia, 23(83), 563-578. https://doi.org/10.37960/revista.v23i83.24480
Caminos, W. G., Guerrero, K. G., Guashca, L. F., & Frias, L. M. (2024). Riesgo financiero y su impacto socioeconómico en empresas ecuatorianas. Revista Venezolana De Gerencia, 29(106), 530-545. https://doi.org/10.52080/rvgluz.29.106.5
Carrillo Maldonado, P. A. (2017). El efecto de la política fiscal en expansión y recesión para Ecuador: un modelo MSVAR. Cuadernos de Economía, 36(71), 405-439. https://doi.org/10.15446/cuad.econ.v36vn72.53570
Carroll, C. D., & Kimball, M. S. (1996). On the Concavity of the Consumption Function. Econometrica, 64(4), 981–992. https://doi.org/10.2307/2171853
Carroll, C. D., Holm, M. B., & Kimball, M. S. (2021). Liquidity constraints and precautionary saving. Journal of Economic Theory, 195, 105276. https://doi.org/10.1016/j.jet.2021.105276
Chalk, N. (1998). Fiscal sustainability with non-renewable resources, IMF working paper no. 98/26, Washington, DC.
Dimas de los Reyes, A. (2022). Políticas públicas implementadas por el gobierno de México: Efectividad en la economía. Revista Venezolana De Gerencia, 27(100), 1390-1404. https://doi.org/10.52080/rvgluz.27.100.7
Ebrahimi, S. (2011). Effects of Oil Price Shocks and Exchange Rate Volatility and Uncertainity on Economic Growth in Selective Oil Countries. Iranian Journal of Trade Studies, 15(59), 83-105. https://doi.org/20.1001.1.17350794.1390.15.59.4.0
El Anshasy, A. A., & Bradley, M. D. (2012). Oil prices and the fiscal policy response in oil-exporting countries. Journal of Policy Modeling, 34(5), 605-620. https://doi.org/10.1016/j.jpolmod.2011.08.021
Elder, J., & Serletis, A. (2010). Oil price uncertainty. Journal of Money, Credit and Banking, 42(6), 1137-1159. http://www.jstor.org/stable/40784879.
Engel, E., & Valdes, R. (2000). Optimal fiscal strategy for oil exporting countries, IMF working paper no. 00/118, Washington, DC.
Eyden, R., Difeto, M., Gupta, R., & Wohar, M. E. (2019). Oil price volatility and economic growth: Evidence from advanced economies using more than a century’s data. Applied Energy, 233, 612-621. https://doi.org/10.1016/j.apenergy.2018.10.049
Fasino, U., & Wang, Q. (2002). Testing the relationship between government spending and revenue: Evidence from GCC countries, IMF working paper no. 02/201, Washington, DC.
García-Albán, F., González-Astudillo, M., & Vera-Avellán, C. (2021). Good policy or good luck? Analyzing the effects of fiscal policy and oil revenue shocks in Ecuador. Energy Economics, 100, 105321. https://doi.org/10.1016/j.eneco.2021.105321
Gavilanes, S. (2009). Efectos de Shocks de Políticas Fiscales en la Economía Ecuatoriana, Periodo 1990–2007. [Tesis de Grado, Escuela Superior Politécnica del Litoral, Guayaquil-Ecuador]. https://www.dspace.espol.edu.ec/handle/123456789/7671
González-Astudillo, M., Guerra-Salas, J., & Lipton, A. (2024). Fiscal consolidations in commodity-exporting countries: A DSGE perspective. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.4776777
Guerrero, R. & Trivino, M. (2004). El Rol de los Precios del Petróleo sobre la Economía Ecuatoriana. [Tesis de Grado, Escuela Superior Politécnica del Litoral]. http://www.dspace.espol.edu.ec/handle/123456789/530
Guo, H., & Kliesen, K. L. (2006). Oil price volatility and U.s. macroeconomic activity: Version 1 [Data set]. En ICPSR Data Holdings. Inter-university Consortium for Political and Social Research (ICPSR).
Hamilton, J. D. (1983). Oil and the macroeconomy since world war II. The Journal of Political Economy, 91(2), 228–248. https://doi.org/10.1086/261140
Hamilton, J. D. (2003). What is an oil shock? Journal of Econometrics, 113(2), 363–398. https://doi.org/10.1016/s0304-4076(02)00207-5
Hausmann, R., Powell, A., & Rigobon, R. (1993). An optimal spending rule facing oil income uncertainty (Venezuela). In E. Engel, & P. Meller (Eds.), External shocks and stabilization mechanisms. Washington, DC: Inter-American Development Bank.
Husain, A., Tazhibayeva, K., & Ter-Martirosyan, A. (2008). Fiscal policy and economic cycles in oil exporting countries, IMF working paper no. 08/253, Washington, DC.
Kia, A. (2008). Fiscal sustainability in emerging countries: Evidence from Iran and Turkey. Journal of Policy Modeling, 30(6), 957–972. https://doi.org/10.1016/j.jpolmod.2008.01.004
Kilian, L., (2010). Oil price volatility: origins and effects. Working Paper No ERSD- 2010-02. https://www.econstor.eu/bitstream/10419/57602/1/639727123.pdf
Lee, K., Ni, S., & Ratti, R. A. (1995). Oil shocks and the macroeconomy: the role of price variability. The Energy Journal, 16(4), 39-56. https://www.jstor.org/stable/41322616
Leigh, D., & Olters, J.-P. (2006). Natural resource depletion, habit formation, and sustainable fiscal policy: Lessons from Gabon, IMF working paper no. 06/193, Washington, DC.
Liu, J., & Serletis, A. (2023). Volatility and dependence in energy markets. Journal of Economic and Finance, 47, 15–37. https://doi.org/10.1007/s12197-022-09609-4
Liuksila, C., Garcia, A., & Bassett, S. (1994). Fiscal policy sustainability in oil-producing countries, IMF working paper no. 94/137, Washington, DC.
Machado, R., & Zuloeta, J. (2012). The impact of the business cycle on elasticities of tax revenue in Latin America (No. IDB-WP-340). IDB Working Paper Series.
MacKinnon, J.G. (1994). Approximate asymptotic distribution functions for unit-root and cointegration tests. Journal of Business and Economic Statistics, 12, 167-76. https://doi.org/10.2307/1391481
MacKinnon, J.G. (2010). Critical Values for Cointegration Tests. Queen’s University, Dept of Economics, Working Papers. Available at http://ideas.repec.org/p/qed/wpaper/1227.html
Marchese, M., Kyriakou, I., Tamvakis, M., & Di Iorio, F. (2020). Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models. Energy Economics, 88, 104757. https://doi.org/10.1016/j.eneco.2020.104757
Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica: Journal of the Econometric Society, 347-370. https://doi.org/10.2307/2938260
Oriakhi, D. E., & Osaze, I. D. (2013). Oil price volatility and its consequences on the growth of the Nigerian economy: An examination (1970-2010). Asian Economic and Financial Review, 3(5), 683. https://archive.aessweb.com/index.php/5002/article/view/1041
Pérez, J. J., & Hiebert, P. (2004). Identifying endogenous fiscal policy rules for macroeconomic models. Journal of Policy Modeling, 26(8–9), 1073–1089. https://doi.org/10.1016/j.jpolmod.2004.07.004
Peter, J. (1996). Oil price volatility and the macroeconomy. Journal of Macroeconomics, 18(1), 1–26. https://doi.org/10.1016/s0164-0704(96)80001-2
Pieschacón, A. (2012). The value of fiscal discipline for oil-exporting countries. Journal of Monetary Economics, 59(3), 250–268. https://doi.org/10.1016/j.jmoneco.2012.03.001
Rafiq, S., Salim, R., & Bloch, H. (2009). Impact of crude oil price volatility on economic activities: An empirical investigation in the Thai economy. Resources Policy, 34(3), 121–132. https://doi.org/10.1016/j.resourpol.2008.09.001
Regnier, E. (2007). Oil and energy price volatility. Energy Economics, 29(3), 405–427. https://doi.org/10.1016/j.eneco.2005.11.003
Sadeghi, A. (2017). Oil Price Shocks and Economic Growth in Oil-Exporting Countries: Does the Size of Government Matter?. International Monetary Fund. https://www.imf.org/en/Publications/WP/Issues/2017/12/22/Oil-Price-Shocks-and-Economic-Growth-in-Oil-Exporting-Countries-Does-the-Size-of-Government-45520
Shaxson, N., (2005). New approaches to dealing with the resource curse in sub-Saharan Africa. Royal Institute of International Affairs, 81, 311–324. https://doi.org/10.1111/j.1468-2346.2005.00452.x
Sims, C. A., Stock, J. H., & Watson, M. W. (1990). Inference in linear time series models with some unit roots. Econometrica: Journal of the Econometric Society, 113-144. https://doi.org/0012-9682(199001)58:1<113:IILTSM>2.0.CO;2-P
Steigum, E., & Thøgersen, Ø. (1995). Petroleum wealth, debt policy, and intergenerational welfare: The case of Norway. Journal of Policy Modeling, 17(4), 427–442. https://doi.org/10.1016/0161-8938(95)00018-O
Van der Ploeg, F., & Venables, A.J. (2009). Harnessing windfall revenue: Optimal policy for resource-rich developing economies, research paper 9, OxCarre, University of Oxford, Oxford, UK.
Villafuerte, M., & Lopez-Murphy, P. (2010). Fiscal policy in oil producing countries during the recent oil price cycle, IMF working paper no. 10/28, Washington, DC
Published
2024-09-20
How to Cite
Camacho Villagomez, F. R., Bajaña Villagomez, Y. S., & Rodríguez Bustos, A. J. (2024). Volatilidad del precio del petróleo, gasto público y PIB en Ecuador. Revista Venezolana De Gerencia, 29(108), 1522-1543. https://doi.org/10.52080/rvgluz.29.108.3
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EN LA MIRA: Economía y Finanzas
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