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El canal de préstamos de la política monetaria en Colombia. Un enfoque FAVAR

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  • Fernando Tenjo Galarza

    ()

  • Enrique López E.

    ()

  • Diego H. Rodríguez H.

    ()

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    Abstract

    En este trabajo se utiliza un modelo FAVAR (factor-augmented vector autoregression) con el fin de examinar el papel que las condiciones financieras de los bancos, reflejadas en información recopilada a nivel individual, tienen en la transmisión de la política monetaria. El tipo de modelo utilizado acá permite, así mismo, reconciliar los niveles de análisis macro y microeconómico. En el FAVAR se incluyen factores comunes macroeconómicos extraídos de un grupo de series macroeconómicas. Así mismo se incluyen factores obtenidos de las razones financieras construidas a partir de las hojas de balance de los bancos. Se encuentra que los factores construidos a partir de las razones de liquidez, solvencia y apalancamiento contribuyen a entender la dinámica macroeconómica. Sin embargo, esta dinámica es a su vez afectada por la postura de la política monetaria. Se encuentra también que la liquidez de los bancos es muy importante en la transmisión de los choques monetarios al resto de la economía. En general, esta investigación está en la línea de mejorar los análisis de política monetaria con modelos que consideren el crédito y los aspectos financieros de la economía.

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    File URL: http://www.banrep.gov.co/docum/ftp/borra684.pdf
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    Bibliographic Info

    Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 009198.

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    Length: 67
    Date of creation: 19 Dec 2011
    Date of revision:
    Handle: RePEc:col:000094:009198

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