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¿Responde el Banco de la República a los movimientos en la tasa de cambio real?


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  • Egberto Alexander Riveros Saavedra


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    Para los bancos centrales con régimen de inflación-objetivo modificar la tasa de interés de política monetaria como respuesta a la apreciación de la tasa cambio puede poner en riesgo el cumplimiento de la meta de inflación. Este trabajo determina qué tan importante ha sido el comportamiento de la tasa de cambio real para el Banco de la República a la hora de establecer el nivel de la tasa de interés. El estudio revela que el emisor, en los primeros años de implementación del esquema de inflación-objetivo, habría considerado la tasa de cambio real al momento de decidir el nivel de tasa de interés; sin embargo, dicha variable ha perdido importancia. La metodología de estimación de la función de reacción del Banco de la República consiste en un modelo de elección discreta (probit dinámico) que considera los cambios discretos y poco frecuentes en la tasa de interés.

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    Volume (Year): (2012)
    Issue (Month): ()

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    Handle: RePEc:col:000107:010875

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    Keywords: Banco Central; función de reacción de política monetaria; probit; inflación-objetivo.;

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    1. Fernando Borraz & Alejandro Fried & Diego Gianelli, 2011. "Análisis de las calificaciones de riesgo soberano: el caso uruguayo," Documentos de Trabajo (working papers) 2111, Department of Economics - dECON.
    2. Laurence M. Ball, 1999. "Policy Rules for Open Economies," NBER Chapters, in: Monetary Policy Rules, pages 127-156 National Bureau of Economic Research, Inc.
    3. Eichengreen, Barry & Watson, Mark W & Grossman, Richard S, 1985. "Bank Rate Policy under the Interwar Gold Standard: A Dynamic Probit Model," Economic Journal, Royal Economic Society, vol. 95(379), pages 725-45, September.
    4. John Geweke, 1991. "Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments," Staff Report 148, Federal Reserve Bank of Minneapolis.
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