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Una aproximación a la identificación y propagación de los shocks en una economía pequeña y abierta: El caso uruguayo

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  • Marcelo Perera
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    Abstract

    El presente trabajo tiene como objetivo estimar el impacto de determinadas perturbaciones sobre una economía pequeña y abierta. Las elevadas fluctuaciones de la economía uruguaya motivan el esfuerzo por caracterizar la naturaleza de los shocks y de su propagación a determinadas variables macroeconómicas. Para ello se plantea un sencillo esquema teórico que sirve de base a la identificación de un modelo VAR Estructural. Las relaciones comerciales del país y su grado de exposición al flujo internacional de capitales, justifican la consideración de dos tipos de shocks adicionales a los tradicionalmente considerados (de productividad y de demanda) en este tipo de análisis: un shock en la relación de términos de intercambio y un shock en la cuenta capital. En general, la estimación de las funciones impulso-respuesta arrojan los resultados esperados desde el punto de vista teórico. Luego, mediante la descomposición de la varianza, se analiza la importancia relativa de cada perturbación en las fluctuaciones de cada una de las variables endógenas a distintos horizontes temporales.

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    File URL: http://documentos.fedea.net/pubs/dt/2007/dt-2007-04.pdf
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    Bibliographic Info

    Paper provided by FEDEA in its series Working Papers with number 2007-04.

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    Date of creation: Feb 2007
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    Handle: RePEc:fda:fdaddt:2007-04

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