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Choques en el mercado de crédito, política monetaria y fluctuaciones económicas

  • Alberto Ortiz Bolaños

    (Centro de Estudios Monetarios Latinoamericanos (CEMLA))

El presente documento usa un modelo de equilibrio general dinámico estocástico con imperfecciones en el mercado de crédito para estimar el papel de las perturbaciones del mercado de crédito y de la política monetaria en los ciclos económicos de Estados Unidos. El modelo estimado registra gran parte de la narrativa histórica sobre el comportamiento de la política monetaria y de los acontecimientos en los mercados financieros que llevaron a episodios de excesos y a problemas financieros durante las últimas dos décadas. La estimación sugiere que los choques en el mercado de crédito son un factor importante tras las fluctuaciones económicas y representan un 15% de la varianza en el producto real desde 1985. Además, hallamos que una vez que se consideran las imperfecciones del mercado de crédito, la política monetaria es también una fuerza importante tras las fluctuaciones del producto real explicando un 12.5% de su varianza.

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File URL: http://www.cemla.org/PDF/monetaria/PUB_MON_XXXV-02.pdf
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Article provided by Centro de Estudios Monetarios Latinoamericanos in its journal Monetaria.

Volume (Year): XXXV (2013)
Issue (Month): 2 (julio-diciembre)
Pages: 345-402

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Handle: RePEc:cml:moneta:v:xxxv:y:2013:i:2:p:345-402
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