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Impactos de un Shock Externo en un Modelo Estocástico de Equilibrio General para una Economía Abierta: El Caso de Chile

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Author Info

  • Marcelo Ochoa

    (Universidad de Chile)

  • Patricio Valenzuela

    (Universidad de Chile)

Abstract

Este documento analiza el impacto de un shock en la tasa de interés externa en la economía chilena. Con este fin, se estima un modelo empírico de Vectores Autoregresivos y adicionalmente se desarrolla un modelo estocástico de equilibrio general calibrado y parametrizado para la economía chilena. Del análisis de las funciones impulso-respuesta del modelo empírico se concluye que la autoridad monetaria no debiese reaccionar ante un shock transitorio en la tasa de interés externa. Más aún, si la autoridad monetaria reaccionase causaría una caída en el nivel de producto y un aumento de la tasa de inflación debido al ' price puzzle ' observado. De manera similar, las funciones impulso-respuesta y las simulaciones del modelo teórico utilizando reglas á la Taylor alternativas sugieren que la autoridad monetaria no debería reaccionar ante un aumento de la tasa de interés externa mientras valore la estabilidad de la tasa de inflación por sobre la volatilidad de la tasa de depreciación. Los resultados sugieren que una reacción moderada de la autoridad solamente lograría disminuir la volatilidad del tipo de cambio a un costo de una tasa de inflación más volátil.

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File URL: http://128.118.178.162/eps/mac/papers/0407/0407007.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Macroeconomics with number 0407007.

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Length: 41 pages
Date of creation: 05 Jul 2004
Date of revision:
Handle: RePEc:wpa:wuwpma:0407007

Note: Type of Document - pdf; pages: 41
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Web page: http://128.118.178.162

Related research

Keywords: Monetary Policy; Open Economy General Eqilibrium Model; Foreign Interest Rate Shock; Monetary Policy Rules á la Taylor;

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References

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  1. Laurence Ball, 2002. "Policy Rules and External Shocks," 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 3, pages 047-064 Central Bank of Chile.
  2. Schmitt-Grohe, Stephanie & Uribe, Martin, 2004. "Solving dynamic general equilibrium models using a second-order approximation to the policy function," Journal of Economic Dynamics and Control, Elsevier, vol. 28(4), pages 755-775, January.
  3. Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January.
  4. Raphael Bergoeing & Raimundo Soto, 2005. "Testing Real Business Cycle Models in a Emerging Economy," Central Banking, Analysis, and Economic Policies Book Series, in: Rómulo A. Chumacero & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel ( (ed.), General Equilibrium Models for the Chilean Economy, edition 1, volume 9, chapter 7, pages 221-260 Central Bank of Chile.
  5. 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.
  6. Klaus Schmidt-Hebbel & Luis Serven, 2000. "Policy Shifts and External Shocks in Chile Under Rational Expectations," Econometric Society World Congress 2000 Contributed Papers 1098, Econometric Society.
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Cited by:
  1. Calani, Mauricio, 2007. "Testing Globalization-Disinflation Hypothesis," MPRA Paper 4787, University Library of Munich, Germany, revised 10 Sep 2007.

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