Análisis de cointegración entre el índice general de la bolsa de valores de Lima y el producto bruto interno del Perú

Abstract

The current study aimed to determine the existence of a cointegration relationship between Gross Domestic Product (GDP) and the General Index Lima Stock Exchange (IGBVL). Through a longitudinal study, series data were collected in the period 2000-2014. It was determined that there is a relationship short and long term between the variables which were modeled mathematically by a vector error correction model. The model was validated determined that there is stability in their behavior. While the cointegration relationship is significant, it would seem that fails to grasp fully the relationship between GDP and IGBVL. This is due in some way to the deterministic behavior of GDP.