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Dinámica de la política monetaria e inflación objetivo en Colombia: una aproximación FAVAR

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  • Andrés Felipe Londoño

    ()

  • Jorge Andrés Tamayo

    ()

  • Carlos Alberto Velásquez

    ()

Abstract

En este trabajo se analiza la dinámica de la política monetaria sobre la actividad económica real y los precios en Colombia durante el período 2001:1-2009:12. Utilizandouna nueva metodología que combina los modelos VAR con los recientes desarrollos en el campo del análisis factorial dinámico (FAVAR, por sus siglas en inglés) propuesta por Bernanke, Boivin y Eliasz (2005), se llevan a cabo diferentes especificaciones en donde se muestra las reacciones de distintas variables macroeconómicas ante una innovación en el instrumento de política monetaria. Los resultados sugieren que el modelo FAVAR estimado para la economía colombiana logra capturar de forma adecuada y comprensible los canales de transmisión de la política monetaria. En particular, se observa un rezago de la política monetaria que oscila entre 12 y 18 meses para las variables reales, y alrededor de dos años para las variables de precios.

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Article provided by BANCO DE LA REPÚBLICA - ESPE in its journal ENSAYOS SOBRE POLÍTICA ECONÓMICA.

Volume (Year): (2012)
Issue (Month): ()
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Handle: RePEc:col:000107:010339

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Keywords: Política monetaria; inflación objetivo; mecanismos de transmisión; modelo FAVAR;

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