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Un análisis VAR estructural de política monetaria en Colombia

Author

Listed:
  • Alejandro Ramírez Vigoya

    ()

  • Hernando Rodríguez Zambrano

    ()

Abstract

Este trabajo utiliza la metodología VAR estructural, con restricciones de corto plazo impuestas por el modelo macroeconómico de comportamiento AD-AS, para identificar las relaciones contemporáneas entre las variables endógenas del sistema que imponen las curvas oferta agregada, la LM y la MP. También se analizan los efectos dinámicos de choques en la tasa de intervención del Banco de la República sobre el crecimiento económico y la inflación. Los resultados de las curvas contemporáneas MP indican que hay una relación estadísticamente significativa y positiva contemporánea entre las variables tasa de intervención del Banco de la República y la inflación. El análisis dinámico vía respuesta impulso indica que solamente los choques positivos de las diferencias de la tasa de intervención tienen efectos negativos rezagados y cíclicos sobre la inflación. Choques positivos de política monetaria tienen efectos negativos y significativos sobre el crecimiento económico. A través de la descomposición de varianza se encontró que ante choques de política monetaria se presentan mayores efectos acumulados en el crecimiento económico que en la inflación, y en esta última solamente cuando la tasa de intervención está en diferencias.

Suggested Citation

  • Alejandro Ramírez Vigoya & Hernando Rodríguez Zambrano, 2013. "Un análisis VAR estructural de política monetaria en Colombia," REVISTA FACULTAD DE CIENCIAS ECONÓMICAS, UNIVERSIDAD MILITAR NUEVA GRANADA, December.
  • Handle: RePEc:col:000180:011738
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    References listed on IDEAS

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    1. Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, vol. 79(4), pages 655-673, September.
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    6. Martha Misas & Enrique López, 1999. "El producto potencial en Colombia: una estimación bajo var estructural," COYUNTURA ECONÓMICA, FEDESARROLLO, September.
    7. Bernanke, Ben S., 1986. "Alternative explanations of the money-income correlation," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 25(1), pages 49-99, January.
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    9. Jaime Sarmiento Espinel & Alejandro Ramírez Vigoya*, 2005. "Los costos de la desinflación en Colombia según el modelo Buiter-Miller," REVISTA CUADERNOS DE ECONOMÍA, UN - RCE - CID, December.
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    More about this item

    Keywords

    Vectores autorregresivos estructurales; Política monetaria; Crecimiento económico;

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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