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Financial Conditions and Monetary Policy in Uruguay: An MS-VAR Approach

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  • Bucacos, Elizabeth

Abstract

This study analyzes the effects of "financial stress" on the Uruguayan macroeconomy in the 1998Q3-2016Q2 period with the underlying idea that financial shocks propagate differently during "normal times" than during times of "stress." This behavior is captured in a multivariate framework through a Markovswitching vector auto regressive (MS-VAR) model. The evidence found so far supports the idea that financial conditions affect the macroeconomy, as they not only change the private investment long-run average growth rate but also directly modify the behavior of monetary policy.

Suggested Citation

  • Bucacos, Elizabeth, 2017. "Financial Conditions and Monetary Policy in Uruguay: An MS-VAR Approach," IDB Publications (Working Papers) 8275, Inter-American Development Bank.
    • Handle: RePEc:idb:brikps:8275
    DOI: http://dx.doi.org/10.18235/0000699
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    References listed on IDEAS

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    1. Tihana Skrinjaric, 2022. "Macroeconomic effects of systemic stress: a rolling spillover index approach," Public Sector Economics, Institute of Public Finance, vol. 46(1), pages 109-140.

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    More about this item

    Keywords

    Financial Conditions; Monetary Policy; Private Investment;
    All these keywords.

    JEL classification:

    • C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy; Modern Monetary Theory

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