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El mecanismo de la transmisión monetaria en México

Listed author(s):
  • Copelman, Martina

    (División de Finanzas Internacionales de la Junta de la Reserva Federal, Washington, D.C.)

  • Werner, Alejandro M.

    (Departamento de Investigación del Fondo Monetario Internacional, Washington, D.C.)

Registered author(s):

    An important question in macroeconomics has been how the transmission mechanism of monetary policy works. In particular, the question of whether there exists a credit channel for the transmission of monetary policy has been one of the central themes in the discussion of the effectiveness of monetary policy. If this channel exists, then shocks to credit markets, particularly to bank loans, can have real effects. This paper presents new evidence on the credit hypothesis for the case of Mexico after 1984. We present a simple variant of the open economy IS-LM model includes a credit channel. The model has the following empirical implications which are absent from models which do not include a credit channel. We show that changes in the expectations of devaluation, the desired cash/deposit ratio, and measures of financial deregulation, will have real effects because they change the quantity of credit available in the economy. We explore these implications of the model through standard VAR techniques and find that the evidence strongly supports the credit view. We find that the impact on economic activity of credit and nominal depreciation rate shocks is very significant.// Un interrogante importante, en el campo de la macroeconomía, ha sido el de la opresión del mecanismo de transmisión de la política monetaria. En particular, la posible existencia de un canal crediticio para la transmisión de la política monetaria es uno de los temas centrales en la discusión de la eficacia de la política monetaria. Si este canal existe,los choques experimentados por los mercados de crédito, en particular por los préstamos bancarios, pueden tener efectos reales. Este ensayo presenta nuevos datos de la hipótesis del crédito para el caso de México después de 1984. Presentamos una variante simple del modelo IS-LM para la economía abierta que incluye un canal para el crédito. El modelo tiene las siguientes consecuencias empíricas, ausentes en los modelos que no incluyen un canal para el crédito. Mostramos que los cambios ocurridos en las expectativas de la devaluación, la proporción deseada de efectivo/depósitos y las medidas de desregulación financiera tendrán efectos reales por que alteran la cantidad del crédito disponible en la economía. Exploramos estas consecuencias del modelo por medio de técnicas de autorregresión de vectores (ARV) tradicionales y descubrimos que los datos apoyan fuertemente el enfoque crediticio. Observamos que es muy considerable el efecto de los choques del crédito y de la tasa de depreciación nomina en la actividad económica.

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    Article provided by Fondo de Cultura Económica in its journal El Trimestre Económico.

    Volume (Year): LXIV (1) (1997)
    Issue (Month): 253 (enero-marzo)
    Pages: 75-104

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    Handle: RePEc:elt:journl:v:64:y:1997:i:253:p:75-104
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