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Estimación de Var Bayesianos para la Economía Chilena

  • Patricio Jaramillo


    (Departamento de Estudios Superintendencia de Bancos e Instituciones Financiera, Santiago, Chile.)

In this paper Bayesian Vector Autoregression (BVAR) models are estimated for the Chilean economy. Under this approach, the transmission mechanisms of monetary policy and forecast exercises are studied and evaluated for the main macroeconomic variables. Then, the results are contrasted with the standard VAR models presented in the previous literature for the case of Chile and the implications for the monetary policy design are discussed. JEL Classification: C11, C32, E5.

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Article provided by Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines in its journal Revista de Analisis Economico.

Volume (Year): 24 (2009)
Issue (Month): 1 (Junio)
Pages: 101-126

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Handle: RePEc:ila:anaeco:v:24:y:2009:i:1:p:101-126
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  1. CHUMACERO Rómulo, . "A Toolkit for Analyzing Alternative Policies in the Chilean Economy," EcoMod2003 330700037, EcoMod.
  2. Daniel Racette & Jacques Raynauld & Christian Sigouin, 1995. "An Up-to-Date and Improved BVAR Model of the Canadian Economy," Macroeconomics 9503002, EconWPA.
  3. Fabián Gredig & Klaus Schmidt-Hebbel & Rodrigo Valdés, 2007. "The Monetary Policy Horizon in Chile and Other Inflation-Targeting Countries," Working Papers Central Bank of Chile 438, Central Bank of Chile.
  4. Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez & Thomas J. Sargent, 2005. "A,B,C's (and D's)'s for Understanding VARS," Levine's Bibliography 172782000000000096, UCLA Department of Economics.
  5. Verónica Mies & Felipe Morandé & Matías Tapia, 2002. "Política Monetaria y Mecanismos de Transmisión: Nuevos Elementos para una Vieja Discusión," Working Papers Central Bank of Chile 181, Central Bank of Chile.
  6. Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1983. "Forecasting and Conditional Projection Using Realistic Prior Distributions," NBER Working Papers 1202, National Bureau of Economic Research, Inc.
  7. Canova, Fabio & Ciccarelli, Matteo, 2001. "Forecasting and Turning Point Predictions in a Bayesian Panel VAR Model," CEPR Discussion Papers 2961, C.E.P.R. Discussion Papers.
  8. Kenny, Geoff & Meyler, Aidan & Quinn, Terry, 1998. "Bayesian Var Models for Forecasting Irish Inflation," Research Technical Papers 4/RT/98, Central Bank of Ireland.
  9. Raimundo Soto & Raphael Bergoeing, 2002. "Testing Real Business Cycle Models in an Emerging Economy," Documentos de Trabajo 219, Instituto de Economia. Pontificia Universidad Católica de Chile..
  10. Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
  11. Christopher A. Sims & Tao Zha, 1994. "Error Bands for Impulse Responses," Cowles Foundation Discussion Papers 1085, Cowles Foundation for Research in Economics, Yale University.
  12. Robert B. Litterman, 1985. "Forecasting with Bayesian vector autoregressions five years of experience," Working Papers 274, Federal Reserve Bank of Minneapolis.
  13. Condon, Timothy & Corbo, Vittorio & de Melo, Jaime, 1985. "Productivity growth, external shocks, and capital inflows in Chile: A general equilibrium analysis," Journal of Policy Modeling, Elsevier, vol. 7(3), pages 379-405.
  14. Raphael Bergoeing & Juan Enrique Suárez, . "¿Qué debemos explicar?: Reportando las Fluctuaciones Agregadas de la Economía Chilena," ILADES-Georgetown University Working Papers inv112, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines.
  15. Rangan Gupta & Moses m. Sichei, 2006. "A Bvar Model For The South African Economy," South African Journal of Economics, Economic Society of South Africa, vol. 74(3), pages 391-409, 09.
  16. Villani, Mattias, 2001. "Bayesian prediction with cointegrated vector autoregressions," International Journal of Forecasting, Elsevier, vol. 17(4), pages 585-605.
  17. DeJong, David N. & Ingram, Beth F. & Whiteman, Charles H., 2000. "A Bayesian approach to dynamic macroeconomics," Journal of Econometrics, Elsevier, vol. 98(2), pages 203-223, October.
  18. O'Ryan, Raúl & De Miguel, Carlos J. & Pereira, Mauricio & Lagos, Camilo, 2008. "Impactos económicos y sociales de shocks energéticos en Chile: un análisis de equilibrio general," Medio Ambiente y Desarrollo 136, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
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