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

Author

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  • Alberto Ortiz Bolaños

    (Centro de Estudios Monetarios Latinoamericanos (CEMLA))

Abstract

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.

Suggested Citation

  • Alberto Ortiz Bolaños, 2013. "Choques en el mercado de crédito, política monetaria y fluctuaciones económicas," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(2), pages 345-402, julio-dic.
  • Handle: RePEc:cml:moneta:v:xxxv:y:2013:i:2:p:345-402
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    More about this item

    Keywords

    Acelerador financiero; Política monetaria; Modelosegde; Estimación bayesiana;

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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