Regresin Lineal Multiple (2001 - 2011)

y=
x1 =
x2 =
x3 =
x4=
x5=

IPC
Diferencial de Rentabilidad*
Tasa de Interes
Tipo de Cambio
PIB Real
Inflacin

*Prima de Riesgo = Rendimiento de Mercado - Tasa Libre de Riesgo (TIIE 28 das)

Hiptesis
Ho: Existe una corelacin muy fuerte entre el INPC y el diferencial de rentabilidad, la tasa de interes, el tipo de cambio,

Resultado:
La hiptesis se cumpli ya que la correlacin es del 93.67% entre el INPC y el diferencial de rentabilidad, la tasa de inter

0 =
1 =
2 =
3 =
4 =
5 =

- 107,673.55
11,421.56
- 1,473.20
822.74
0.04
469.99

a de interes, el tipo de cambio, el PIB real y la inflacin.

de rentabilidad, la tasa de inters, el tipo de cambio, el PIB real y la inflacin.

Resumen
Estadsticas de la regresin
Coeficiente de correlacin mltiple
Coeficiente de determinacin R^2
R^2 ajustado
Error tpico
Observaciones

0.936701854
0.877410364
0.872467234
3901.029891
130

ANLISIS DE VARIANZA
Grados de libertad
Regresin
Residuos
Total

Intercepcin
Variable X 1
Variable X 2
Variable X 3
Variable X 4
Variable X 5

5
124
129

Suma de cuadrados
13506077775
1887036242
15393114017

Coeficientes
-107673.5465
11421.55586
-1473.200669
822.7410643
0.044430811
-469.9885426

Error tpico
6497.221495
6307.514928
1033.326149
358.4560412
0.002100324
175.9126464

Promedio de los cuadrados

F
Valor crtico de F
2701215555 177.500952
9.51321E-55
15218034.21

Estadstico t
-16.57224501
1.810785386
-1.425687979
2.295235593
21.15426121
-2.671715491

Probabilidad
3.0896E-33
0.07259512
0.15647094
0.02339975
5.8013E-43
0.00856013

Inferior 95%
-120533.3678
-1062.783027
-3518.442569
113.2561493
0.040273681
-818.168946

Superior 95% Inferior 95.0%Superior 95.0%

-94813.7252 -120533.368 -94813.7252
23905.8947 -1062.78303 23905.8947
572.041231 -3518.44257 572.041231
1532.22598 113.256149 1532.22598
0.04858794 0.04027368 0.04858794
-121.808139 -818.168946 -121.808139

perior 95.0%

PERIODO
Jan/2001
Feb/2001
Mar/2001
Apr/2001
May/2001
Jun/2001
Jul/2001
Aug/2001
Sep/2001
Oct/2001
Nov/2001
Dec/2001
Jan/2002
Feb/2002
Mar/2002
Apr/2002
May/2002
Jun/2002
Jul/2002
Aug/2002
Sep/2002
Oct/2002
Nov/2002
Dec/2002
Jan/2003
Feb/2003
Mar/2003
Apr/2003
May/2003
Jun/2003
Jul/2003
Aug/2003
Sep/2003
Oct/2003
Nov/2003
Dec/2003
Jan/2004
Feb/2004
Mar/2004
Apr/2004
May/2004
Jun/2004
Jul/2004
Aug/2004

X1

X2

IPC
6032.10
5727.89
5987.25
6595.39
6666.17
6474.40
6310.70
5403.53
5537.04
5832.83
6372.28
6927.87
6734.44
7361.86
7480.74
7031.64
6460.95
6021.84
6216.43
5728.46
5967.73
6156.83
6127.09
5954.35
5927.06
5914.03
6509.88
6699.18
7054.99
7355.07
7591.42
7822.48
8064.83
8554.48
8795.28
9428.77
9991.80
10517.50
9948.13
10036.29
10281.82
10116.39
10264.32
10957.37

RENTABILIDAD

INFLACION

X3
TC

0.0529
-0.0640
0.0322
0.0894
0.0012
-0.0374
-0.0332
-0.1515
0.0155
0.0461
0.0856
0.0810
-0.0351
0.0866
0.0096
-0.0651
-0.0875
-0.0757
0.0263
-0.0844
0.0346
0.0250
-0.0110
-0.0348
-0.0122
-0.0101
0.0935
0.0236
0.0489
0.0383
0.0283
0.0265
0.0271
0.0566
0.0232
0.0671
0.0556
0.0474
-0.0590
0.0039
0.0191
-0.0217
0.0089
0.0616

0.55
-0.06
0.63
0.50
0.22
0.23
-0.25
0.59
0.93
0.45
0.37
0.13
0.92
-0.06
0.51
0.54
0.20
0.48
0.28
0.38
0.60
0.44
0.80
0.44
0.40
0.28
0.63
0.17
-0.32
0.08
0.14
0.30
0.60
0.37
0.83
0.43
0.62
0.60
0.34
0.15
-0.25
0.16
0.26
0.62

9.6692
9.6827
9.5203
9.3049
9.1653
9.0900
9.1472
9.1692
9.5542
9.2682
9.2815
9.1692
9.1974
9.0919
9.0243
9.3542
9.7148
9.9615
9.7410
9.9193
10.1767
10.2263
10.1193
10.3613
10.8636
11.0333
10.6698
10.3450
10.3205
10.4176
10.4870
10.9806
11.0446
11.1058
11.3385
11.1998
11.0843
11.0715
11.2103
11.4068
11.4128
11.5297
11.4302
11.4231

X4
PIB REAL
2,436,874
2,436,874
2,436,874
2,474,995
2,474,995
2,474,995
2,494,354
2,494,354
2,494,354
2,525,449
2,525,449
2,525,449
2,370,231
2,370,231
2,370,231
2,507,892
2,507,892
2,507,892
2,505,678
2,505,678
2,505,678
2,556,686
2,556,686
2,556,686
2,455,684
2,455,684
2,455,684
2,513,236
2,513,236
2,513,236
2,511,763
2,511,763
2,511,763
2,593,721
2,593,721
2,593,721
2,540,083
2,540,083
2,540,083
2,607,805
2,607,805
2,607,805
2,623,770
2,623,770

X5
TIIE A 28 DIAS
18.35
17.39
16.85
15.64
12.31
11.12
10.22
10.00
11.80
9.35
8.80
7.90
9.29
8.45
8.45
6.57
8.15
9.96
7.70
7.60
9.18
8.57
7.89
8.54
9.74
10.15
9.33
7.08
5.43
5.50
4.99
5.08
5.00
5.25
6.35
6.29
5.28
6.68
6.25
6.42
6.88
7.18
7.39
7.67

Sep/2004
Oct/2004
Nov/2004
Dec/2004
Jan/2005
Feb/2005
Mar/2005
Apr/2005
May/2005
Jun/2005
Jul/2005
Aug/2005
Sep/2005
Oct/2005
Nov/2005
Dec/2005
Jan/2006
Feb/2006
Mar/2006
Apr/2006
May/2006
Jun/2006
Jul/2006
Aug/2006
Sep/2006
Oct/2006
Nov/2006
Dec/2006
Jan/2007
Feb/2007
Mar/2007
Apr/2007
May/2007
Jun/2007
Jul/2007
Aug/2007
Sep/2007
Oct/2007
Nov/2007
Dec/2007
Jan/2008
Feb/2008
Mar/2008
Apr/2008
May/2008
Jun/2008
Jul/2008

11564.35
12102.55
12917.88
13097.12
13789.46
12676.90
12322.99
12964.39
13486.13
14409.66
14243.19
16120.08
15759.73
16830.96
17802.71
18907.10
18706.32
19272.63
20646.19
18677.92
19147.17
20095.93
21049.35
21937.11
23046.95
24962.01
26448.32
27561.49
26638.95
28747.69
28996.71
31398.96
31151.05
30659.66
30347.86
30296.19
31458.67
29770.52
29536.83
28793.64
28918.52
30912.99
30281.41
31975.47
29395.49
27501.02
26290.99

0.0492
0.0401
0.0605
0.0069
0.0457
-0.0882
-0.0356
0.0442
0.0324
0.0607
-0.0194
0.1242
-0.0297
0.0608
0.0507
0.0554
-0.0169
0.0242
0.0654
-0.1010
0.0194
0.0439
0.0417
0.0365
0.0449
0.0774
0.0539
0.0364
-0.0393
0.0734
0.0029
0.0769
-0.0139
-0.0218
-0.0162
-0.0077
0.0324
-0.0598
-0.0140
-0.0313
-0.0018
0.0628
-0.0266
0.0498
-0.0869
-0.0708
-0.0506

0.83
0.69
0.85
0.21
0.00
0.33
0.45
0.36
-0.25
-0.10
0.39
0.12
0.40
0.25
0.72
0.61
0.59
0.15
0.13
0.15
-0.45
0.09
0.27
0.51
1.01
0.44
0.52
0.58
0.52
0.28
0.22
-0.06
-0.49
0.12
0.42
0.41
0.78
0.84
0.71
0.41
0.46
0.30
0.72
0.23
-0.11
0.41
0.56

11.4288
11.5293
11.2660
11.2183
11.2613
11.1086
11.2293
11.1159
10.8699
10.7645
10.6201
10.8377
10.8131
10.8447
10.5702
10.7109
10.4416
10.4661
10.9228
11.1135
11.2693
11.4009
10.8947
10.8650
11.0502
10.7740
10.9983
10.8755
11.0548
11.1493
11.0507
10.9305
10.8180
10.7926
10.9812
11.0848
10.9203
10.7198
10.9417
10.9043
10.8374
10.6813
10.6987
10.5272
10.3066
10.3028
10.0340

2,623,770
2,711,104
2,711,104
2,711,104
2,591,109
2,591,109
2,591,109
2,705,788
2,705,788
2,705,788
2,713,899
2,713,899
2,713,899
2,807,984
2,807,984
2,807,984
2,750,653
2,750,653
2,750,653
2,848,942
2,848,942
2,848,942
2,854,520
2,854,520
2,854,520
2,921,849
2,921,849
2,921,849
2,834,443
2,834,443
2,834,443
2,932,793
2,932,793
2,932,793
2,953,307
2,953,307
2,953,307
3,026,305
3,026,305
3,026,305
2,893,606
2,893,606
2,893,606
3,005,546
3,005,546
3,005,546
2,992,471

8.02
8.25
8.85
8.95
9.18
9.68
9.91
10.09
10.04
9.99
10.03
9.80
9.48
9.28
9.01
8.57
8.10
7.81
7.58
7.32
7.34
7.33
7.33
7.30
7.32
7.30
7.32
7.37
7.46
7.45
7.46
7.70
7.71
7.71
7.71
7.71
7.68
7.93
7.91
7.93
7.91
7.94
7.93
7.93
7.95
8.19
8.44

Aug/2008
24888.90
-0.0601
Sep/2008
20445.32
-0.1853
Oct/2008
20534.72
-0.0024
Nov/2008
22380.32
0.0831
Dec/2008
19565.14
-0.1325
Jan/2009
17752.18
-0.0992
Feb/2009
19626.75
0.0994
Mar/2009
21898.85
0.1102
Apr/2009
24331.71
0.1062
May/2009
24368.38
-0.0030
Jun/2009
27043.50
0.1058
Jul/2009
28129.95
0.0364
Aug/2009
29232.24
0.0354
Sep/2009
28646.03
-0.0239
Oct/2009
30957.11
0.0769
Nov/2009
32120.47
0.0337
Dec/2009
30391.61
-0.0576
Jan/2010
31634.54
0.0371
Feb/2010
33266.43
0.0478
Mar/2010
32687.32
-0.0212
Apr/2010
32038.53
-0.0237
May/2010
31156.97
-0.0314
Jun/2010
32308.74
0.0331
Jul/2010
31679.85
-0.0233
Aug/2010
33330.34
0.0483
Sep/2010
35568.22
0.0634
Oct/2010
36817.32
0.0313
Nov/2010
38550.79
0.0433
Dec/2010
36982.24
-0.0445
Jan/2011
37019.70
-0.0028
Feb/2011
37440.51
0.0076
Mar/2011
36962.62
-0.0165
Apr/2011
35832.79
-0.0343
May/2011
36558.07
0.0165
Jun/2011
35999.34
-0.0191
Jul/2011
35721.10
-0.0115
Aug/2011
33503.28
-0.0658
Sep/2011
36159.99
0.0756
Oct/2011
35742.57
-0.0153
Fuente: BANXICO, INEGI, YAHOO FINANZAS.

0.58
0.68
0.68
1.14
0.69
0.23
0.22
0.57
0.35
-0.29
0.18
0.27
0.24
0.50
0.30
0.52
0.41
1.09
0.57
0.71
-0.32
-0.63
-0.03
0.22
0.28
0.52
0.62
0.80
0.50
0.49
0.37
0.19
-0.01
-0.75
0.00
0.47
0.15
0.25
0.10

10.1822
10.9397
12.8342
13.2325
13.7738
14.1975
14.9322
14.3855
13.6485
13.2337
13.1812
13.2223
13.2579
13.5513
13.0825
12.9139
13.0437
12.9975
12.8503
12.4145
12.2465
12.8589
12.8394
12.7038
13.1367
12.4801
12.4023
12.5538
12.3817
12.1214
12.1235
11.9219
11.5428
11.6123
11.7748
11.6821
12.4838
13.4567
13.1132

2,992,471
2,992,471
2,995,084
2,995,084
2,995,084
2,680,733
2,680,733
2,680,733
2,716,127
2,716,127
2,716,127
2,827,765
2,827,765
2,827,765
2,934,157
2,934,157
2,934,157
2,800,829
2,800,829
2,800,829
2,922,519
2,922,519
2,922,519
2,972,853
2,972,853
2,972,853
3,063,850
3,063,850
3,063,850
2,929,352
2,929,352
2,929,352
3,019,687
3,019,687
3,019,687
3,019,687
3,019,687
3,019,687
3,019,687

8.66
8.66
8.70
8.73
8.69
8.41
7.94
7.15
6.25
5.78
5.09
4.89
4.90
4.93
4.91
4.95
4.92
4.91
4.92
4.92
4.96
4.97
4.96
4.92
4.88
4.87
4.87
4.90
4.88
4.85
4.84
4.85
4.85
4.84
4.85
4.82
4.80
4.79
4.80