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Efectos de una nueva medida de shock monetario bajo el esquema de metas de inflación en Chile
[Effects of a New Measure of Monetary Shock Under Inflation Targeting in Chile]

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  • Arend, Mario

Abstract

As monetary policy decisions under inflation targeting are based on the projections of the target variables, a new measure of monetary shock is needed to solve the problems of bias and inconsistency in regression which try to explain the effects of monetary policy on activity and inflation. In this work I propose a new measure of monetary shock which control for the anticipatory components of the instrument rate using a simple monetary rule as the framework. The empirical work for the new measure is tested for Chile. The results obtained with the new measure indicate that the effects of monetary policy on activity and inflation are larger than those obtained with measures that do not control for the anticipatory component of the instrument rate.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 27156.

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Date of creation: 01 Dec 2005
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Handle: RePEc:pra:mprapa:27156

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Keywords: shock monetario; metas de inflacion; nueva medida de shock monetario; metodo de coeficientes indeterminados;

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  1. Svensson, L-E-O, 1997. "Inflation Targeting : Some Extensions," Papers 625, Stockholm - International Economic Studies.
  2. Glenn D. Rudebusch & Lars E. O. Svensson, 1998. "Policy Rules for Inflation Targeting," NBER Working Papers 6512, National Bureau of Economic Research, Inc.
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  4. Patricio Rojas, 1993. "El Dinero como un Objetivo Intermedio de Política Monetaria en Chile: Un Análisis Empírico," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 30(90), pages 139-178.
  5. Athanasios Orphanides, 1998. "Monetary policy evaluation with noisy information," Finance and Economics Discussion Series 1998-50, Board of Governors of the Federal Reserve System (U.S.).
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  7. Lars E. O. Svensson, 2000. "Open-Economy Inflation Targeting," NBER Working Papers 6545, National Bureau of Economic Research, Inc.
  8. Maurice Obstfeld and Kenneth Rogoff., 2000. "Perspectives on OECD Economic Integration: Implications for US Current Account Adjustment," Center for International and Development Economics Research (CIDER) Working Papers C00-116, University of California at Berkeley.
  9. Eric Parrado, 2001. "Effects of Foreign and Domestic Monetary Policy in a Small Open Economy: the Case of Chile," Working Papers Central Bank of Chile 108, Central Bank of Chile.
  10. M. S. Mohanty & Marc Klau, 2004. "Monetary policy rules in emerging market economies: issues and evidence," BIS Working Papers 149, Bank for International Settlements.
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  13. Francisco Rosende & Luis Oscar Herrera, 1991. "Teoría y Política Monetaria: Elementos para el Análisis," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 28(83), pages 55-94.
  14. Soledad Arellano & Felipe Larraín, 1996. "Tipo de Cambio Real y Gasto Público: Un Modelo Econométrico para Chile," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 33(98), pages 47-76.
  15. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
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  17. Sean Collins & Pierre L. Siklos, 2004. "Optimal Monetary Policy Rules and Inflation Targets: Are Australia, Canada, and New Zealand Different from the U.S.?," Open Economies Review, Springer, vol. 15(4), pages 347-362, October.
  18. Vittorio Corbo, 2002. "Monetary Policy in Latin America in the 90s," Central Banking, Analysis, and Economic Policies Book Series, in: Norman Loayza & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series (ed.), Monetary Policy: Rules and Transmission Mechanisms, edition 1, volume 4, chapter 6, pages 117-166 Central Bank of Chile.
  19. Rodrigo Caputo, 2004. "Exchange Rates, Inflation and Monetary Policy Objectives in Open Economies: The Experience of Chile," Econometric Society 2004 Latin American Meetings 298, Econometric Society.
  20. di Giovanni, Julian & McCrary, Justin & Wachter, Till von, 2005. "Following Germany's Lead: Using International Monetary Linkages to Identify the Effect of Monetary Policy on the Economy," IZA Discussion Papers 1495, Institute for the Study of Labor (IZA).
  21. International Monetary Fund, 2005. "Following Germany'S Lead," IMF Working Papers 05/86, International Monetary Fund.
  22. Ángel Cabrera & Luis Felipe Lagos, 2002. "Monetary Policy in Chile: A Black Box?," Central Banking, Analysis, and Economic Policies Book Series, in: Norman Loayza & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series (ed.), Monetary Policy: Rules and Transmission Mechanisms, edition 1, volume 4, chapter 8, pages 197-246 Central Bank of Chile.
  23. Schmidt-Hebbel, Klaus & Tapia, Matias, 2002. "Inflation targeting in Chile," The North American Journal of Economics and Finance, Elsevier, vol. 13(2), pages 125-146, August.
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