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Dinámica de la política monetaria e inflación objetivo en Colombia: una aproximación FAVAR

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  • Andrés Felipe Londoño

    ()

  • Jorge Andrés Tamayo

    ()

  • Carlos Alberto Velásquez

    ()

Abstract

En este trabajo se analiza la dinámica de la política monetaria sobre la actividad económica real y los precios en Colombia durante el período 2001:1-2009:12. Utilizandouna nueva metodología que combina los modelos VAR con los recientes desarrollos en el campo del análisis factorial dinámico (FAVAR, por sus siglas en inglés) propuesta por Bernanke, Boivin y Eliasz (2005), se llevan a cabo diferentes especificaciones en donde se muestra las reacciones de distintas variables macroeconómicas ante una innovación en el instrumento de política monetaria. Los resultados sugieren que el modelo FAVAR estimado para la economía colombiana logra capturar de forma adecuada y comprensible los canales de transmisión de la política monetaria. En particular, se observa un rezago de la política monetaria que oscila entre 12 y 18 meses para las variables reales, y alrededor de dos años para las variables de precios.

Suggested Citation

  • Andrés Felipe Londoño & Jorge Andrés Tamayo & Carlos Alberto Velásquez, 2012. "Dinámica de la política monetaria e inflación objetivo en Colombia: una aproximación FAVAR," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 30(68), pages 14-71, June.
  • Handle: RePEc:col:000107:010339
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    1. repec:udc:esteco:v:44:y:2017:i:2:p:97-124 is not listed on IDEAS
    2. repec:udc:esteco:v:44:y:2017:i:2:p:223-250 is not listed on IDEAS
    3. Carlos Fernando Daza Moreno & Jorge Mario Uribe, 2016. "Efectos de los cambios de la tasa de interés de Estados Unidos sobre Colombia, Perú y Chile," REVISTA DE ECONOMÍA DEL CARIBE 014794, UNIVERSIDAD DEL NORTE.
    4. Anzoategui Zapata, Juan Camilo, 2015. "Impacto de política monetaria: una revisión empírica 2000 – 2013
      [Impact of monetary policy: an empirical review 2000 - 2013]
      ," MPRA Paper 69349, University Library of Munich, Germany, revised 01 Dec 2014.

    More about this item

    Keywords

    Política monetaria; inflación objetivo; mecanismos de transmisión; modelo FAVAR;

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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