Sources of Uncertainty in Monetary Policy Conduct in Chile
Abstract
This paper analyzes the quantitative relevance of additive and multiplicative uncertainties, and in data for monetary policy conduct in Chile. The analysis on data uncertainty focuses on the uncertainty associated with output gap estimation using real-time data and several known methods for estimating trend output. We find that revisions to the output gap are important and persistent, and that the methods based on unobservable component are those that perform with real-time data with respect to the more common ones, such as the HP filter. For the cases of additive and multiplicative uncertainties, the equations that rule the economy’s behavior are estimated with time-varying parameters and with state-dependent variances in the model’s shocks. This allows analyzing the contribution of these two types of uncertainty to total uncertainty. We find that the additive uncertainty is the most relevant in explaining total uncertainty and that the model’s shocks are state dependent.Download Info
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.Bibliographic Info
Article provided by Central Bank of Chile in its journal Economía Chilena.
Volume (Year): 11 (2008)
Issue (Month): 3 (December)
Pages: 45-80
Contact details of provider:
Postal: Casilla No967, Santiago
Phone: (562) 670 2000
Fax: (562) 698 4847
Web page: http://www.bcentral.cl/
More information through EDIRC
Related research
Keywords:References
No references listed on IDEASYou can help add them by filling out this form.
Citations
Lists
This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.Statistics
Access and download statisticsCorrections
When requesting a correction, please mention this item's handle: RePEc:chb:bcchec:v:11:y:2008:i:3:p:45-80For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Claudio Sepulveda).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.