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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. Raphael Bergoeing & Raimundo Soto, 2002. "Testing Real Business Cycle Models in an Emerging Economy," Documentos de Trabajo 126, Centro de Economía Aplicada, Universidad de Chile.
  2. Raphael Bergoeing & Juan Enrique Suarez, 2001. "¿Qué Debemos Explicar? Reportando las Fluctuaciones Agregadas de la Economía Chilena," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines, vol. 16(1), pages 145-166, June.
  3. Timothy Condon & Vittorio Corbo & Jaime de Melo, 2015. "Productivity Growth, External Shocks, and Capital Inflows in Chile: A General Equilibrium Analysis," World Scientific Book Chapters, in: Modeling Developing Countries' Policies in General Equilibrium, chapter 5, pages 87-95 World Scientific Publishing Co. Pte. Ltd..
  4. Rangan Gupta & Moses M. Sichei, 2006. "A BVAR Model for the South African Economy," Working Papers 200612, University of Pretoria, Department of Economics.
  5. 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.
  6. Christopher A. Sims & Tao Zha, 1994. "Error Bands for Impulse Responses," Cowles Foundation Discussion Papers 1085, Cowles Foundation for Research in Economics, Yale University.
  7. 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).
  8. Kenny, Geoff & Meyler, Aidan & Quinn, Terry, 1998. "Bayesian VAR Models for Forecasting Irish Inflation," MPRA Paper 11360, University Library of Munich, Germany.
  9. Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez & Thomas J. Sargent & Mark Watson, 2006. "A,B,C's (and D's)'s for Understanding VARS," Levine's Bibliography 321307000000000646, UCLA Department of Economics.
  10. Fabián Gredig U. & Klaus Schmidt-Hebbel D. & Rodrigo O. Valdés P., 2008. "The Monetary Policy Horizon in Chile and Other Inflation-Targeting Countries," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 11(1), pages 5-27, April.
  11. Rómulo A. Chumacero, 2005. "A Toolkit for Analyzing Alternative Policies in the Chilean Economy," Central Banking, Analysis, and Economic Policies Book Series, in: Rómulo A. Chumacero & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (S (ed.), General Equilibrium Models for the Chilean Economy, edition 1, volume 9, chapter 8, pages 261-302 Central Bank of Chile.
  12. Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
  13. Villani, Mattias, 2001. "Bayesian prediction with cointegrated vector autoregressions," International Journal of Forecasting, Elsevier, vol. 17(4), pages 585-605.
  14. 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.
  15. Daniel Racette & Jacques Raynauld & Christian Sigouin, 1995. "An Up-to-Date and Improved BVAR Model of the Canadian Economy," Macroeconomics 9503002, EconWPA.
  16. 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.
  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. Robert B. Litterman, 1985. "Forecasting with Bayesian vector autoregressions five years of experience," Working Papers 274, Federal Reserve Bank of Minneapolis.
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