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Determinantes de la Inflación en una Economía Dolarizada: El Caso Ecuatoriano
[Determinants of Inflation in a Dollarized Economy: The Case of Ecuador]

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  • Gachet, Ivan
  • Maldonado, Diego
  • Pérez, Wilson

Abstract

In this paper we estimate a structural VAR model to identify the causes of inflation in Ecuador. To examine the VAR dynamics, we use the decomposition of the variance because it provides information about the relative importance of each shock to the variables in the VAR. We differ from previous studies because we are able not only to identify the impact of each exogenous variable on the inflation rate but also to estimate the inflation rate from the exogenous variables in the model. We found that on the first quarter of 2008 the annual inflation rate in Ecuador was mainly caused by international prices, exchange rates and public policy.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 17101.

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Date of creation: Feb 2008
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Publication status: Published in Cuestiones Economicas 1.24(2008): pp. 5-28
Handle: RePEc:pra:mprapa:17101

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Keywords: VAR; SVAR; Inflation; Time Series;

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References

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  1. Kim, Soyoung & Roubini, Nouriel, 2000. "Exchange rate anomalies in the industrial countries: A solution with a structural VAR approach," Journal of Monetary Economics, Elsevier, Elsevier, vol. 45(3), pages 561-586, June.
  2. Kapetanios, George & Marcellino, Massimiliano, 2010. "Factor-GMM estimation with large sets of possibly weak instruments," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 54(11), pages 2655-2675, November.
  3. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, Econometric Society, vol. 48(1), pages 1-48, January.
  4. Seymen, Atilim, 2008. "A Critical Note on the Forecast Error Variance Decomposition," ZEW Discussion Papers, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research 08-065, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  5. James H. Stock & Mark W. Watson, 2005. "Implications of Dynamic Factor Models for VAR Analysis," NBER Working Papers 11467, National Bureau of Economic Research, Inc.
  6. Gonzalo Llosa & Vicente Tuesta & Marco Vega, 2006. "A BVAR Forecasting Model for Peruvian Inflation," Money Affairs, Centro de Estudios Monetarios Latinoamericanos, Centro de Estudios Monetarios Latinoamericanos, vol. 0(2), pages 117-141, July-Dece.
  7. Dhakal, Dharmendra & Kandil, Magda & Sharma, Subhash C. & Trescott, Paul B., 1994. "Determinants of the inflation rate in the United States: A VAR investigation," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 34(1), pages 95-112.
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Cited by:
  1. Carrillo, Paul A., 2010. "Efectos Macroeconómicos de la Política Fiscal en Ecuador 1993-2009
    [Macroeconomic Effects of Fiscal Policy in Ecuador 1993-2009]
    ," MPRA Paper 34436, University Library of Munich, Germany, revised Oct 2011.
  2. Gachet, Ivan & Maldonado, Diego & Oliva, Nicolas & Ramirez, Jose, 2011. "Hechos Estilizados de la Economía Ecuatoriana: El Ciclo Económico 1965-2008
    [Stylized Facts of the Ecuadorian Economy: The Economic Chicle 1965-2008]
    ," MPRA Paper 30280, University Library of Munich, Germany.

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