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Un análisis VAR estructural de política monetaria en Colombia

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  • Alejandro Ramírez Vigoya
  • Hernando Rodríguez Zambrano

Abstract

Este trabajo utiliza la metodología VAR estructural, con restricciones de corto plazo impuestas por el modelo macroeconómico de comportamiento AD-AS, para identificar las relaciones contemporáneas entre las variables endógenas del sistema que imponen las curvas oferta agregada, la LM y la MP. También se analizan los efectos dinámicos de choques en la tasa de intervención del Banco de la República sobre el crecimiento económico y la inflación. Los resultados de las curvas contemporáneas MP indican que hay una relación estadísticamente significativa y positiva contemporánea entre las variables tasa de intervención del Banco de la República y la inflación. El análisis dinámico vía respuesta impulso indica que solamente los choques positivos de las diferencias de la tasa de intervención tienen efectos negativos rezagados y cíclicos sobre la inflación. Choques positivos de política monetaria tienen efectos negativos y significativos sobre el crecimiento económico. A través de la descomposición de varianza se encontró que ante choques de política monetaria se presentan mayores efectos acumulados en el crecimiento económico que en la inflación, y en esta última solamente cuando la tasa de intervención está en diferencias.

Suggested Citation

  • Alejandro Ramírez Vigoya & Hernando Rodríguez Zambrano, 2013. "Un análisis VAR estructural de política monetaria en Colombia," Revista Facultad de Ciencias Económicas, Universidad Militar Nueva Granada, December.
    • Handle: RePEc:col:000180:011738
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    References listed on IDEAS

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    More about this item

    Keywords

    Vectores autorregresivos estructurales; Política monetaria; Crecimiento económico;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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