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Estimación bayesiana de unmodelo de pequeña economía abierta con dolarización parcial

  • Salas, Jorge

Este documento describe un modelo neokeynesiano para una pequeña economía abierta con dolarización parcial, que se asemeja al Modelo de Proyección Trimestral (MPT) del Banco Central de Reserva del Perú (Vega y otros, 2009), y estima un grupo importante de sus parámetros con métodos bayesianos. Se encuentra que algunos de los parámetros originales del MPT son validados empíricamente mientras que otros, como el peso de los componentes prospectivos (forward looking) de las ecuaciones de demanda y oferta agregadas, deberían ser más elevados. Los resultados además validan la operatividad de canales tradicionales de transmisión de política monetaria, como el de tasas de interés. Se encuentra además que el canal de expectativas se ha vuelto más prominente desde el año 2004.

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File URL: http://www.bcrp.gob.pe/docs/Publicaciones/Revista-Estudios-Economicos/22/ree-22-salas.pdf
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Article provided by Banco Central de Reserva del Perú in its journal Revista Estudios Económicos.

Volume (Year): (2011)
Issue (Month): 22 ()
Pages: 41-62

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Handle: RePEc:rbp:esteco:ree-22-03
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  1. Luis Felipe Cespedes & Roberto Chang & Andres Velasco, 2000. "Balance Sheets and Exchange Rate Policy," NBER Working Papers 7840, National Bureau of Economic Research, Inc.
  2. Jesús Fernández-Villaverde, 2009. "The Econometrics of DSGE Models," NBER Working Papers 14677, National Bureau of Economic Research, Inc.
  3. Ester Faia & Tommaso Monacelli, 2006. "Optimal Monetary Policy in a Small Open Economy with Home Bias," Computing in Economics and Finance 2006 521, Society for Computational Economics.
  4. Bianca De Paoli, 2004. "Monetary Policy and Welfare in a Small Open Economy," CEP Discussion Papers dp0639, Centre for Economic Performance, LSE.
  5. Humala, Alberto & Rodríguez, Gabriel, 2009. "Foreign Exchange Intervention and Exchange Rate Volatility in Peru," Working Papers 2009-008, Banco Central de Reserva del Perú.
  6. Guillermo A. Calvo & Carmen M. Reinhart, 2002. "Fear Of Floating," The Quarterly Journal of Economics, MIT Press, vol. 117(2), pages 379-408, May.
  7. Igor Ermolaev & Michel Juillard & Ioan Carabenciov & Charles Freedman & Douglas Laxton & Ondra Kamenik & Dmitry Korshunov, 2008. "A Small Quarterly Projection Model of the US Economy," IMF Working Papers 08/278, International Monetary Fund.
  8. Adrián Armas & Francisco Grippa, 2005. "Targeting Inflation in a Dollarized Economy: The Peruvian Experience," Research Department Publications 4423, Inter-American Development Bank, Research Department.
  9. Moron, Eduardo & Winkelried, Diego, 2005. "Monetary policy rules for financially vulnerable economies," Journal of Development Economics, Elsevier, vol. 76(1), pages 23-51, February.
  10. Adrián Armas & Francisco Grippa, 2005. "Targeting Inflation in a Dollarized Economy: The Peruvian Experience," IDB Publications (Working Papers) 6827, Inter-American Development Bank.
  11. Camilo E Tovar, 2008. "DSGE models and central banks," BIS Working Papers 258, Bank for International Settlements.
  12. Paul Castillo & Carlos Montoro & Vicente Tuesta, 2006. "An Estimated Stochastic General Equilibrium Model with Partial Dollarization: A Bayesian Approach," Working Papers Central Bank of Chile 381, Central Bank of Chile.
  13. Castillo, Paul & Montoro, Carlos & Tuesta, Vicente, 2009. "Un modelo de equilibrio general con dolarización para la economía peruana," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 17, pages 9-50.
  14. Saki Bigio & Jorge Salas, 2006. "Non-Linear Effects of Monetary Policy and Real Exchange Rate Shocks in Partially Dollarized Economies: An Empirical Study for Peru," Working Papers 2006-008, Banco Central de Reserva del Perú.
  15. John F. O. Bilson & Richard C. Marston, 1984. "Exchange Rate Theory and Practice," NBER Books, National Bureau of Economic Research, Inc, number bils84-1, January.
  16. Dominguez, Kathryn M & Frankel, Jeffrey A, 1993. "Does Foreign-Exchange Intervention Matter? The Portfolio Effect," American Economic Review, American Economic Association, vol. 83(5), pages 1356-69, December.
  17. Reinhart, Carmen M. & Reinhart, Vincent R., 2011. "Entrada de capitales y acumulación de reservas: evidencia reciente," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 20, pages 15-25.
  18. Nicoletta Batini & Paul Levine & Joseph Pearlman, 2008. "Optimal Exchange Rate Stabilization in a Dollarized Economy with Inflation Targets," Working Papers 2008-004, Banco Central de Reserva del Perú.
  19. International Monetary Fund, 2009. "Adding Latin America to the Global Projection Model," IMF Working Papers 09/85, International Monetary Fund.
  20. Vega, Marco & Bigio, Saki & Florian, David & Llosa, Gonzalo & Miller, Shirley & Ramirez-Rondan, Nelson & Rodriguez, Donita & Salas, Jorge & Winkelried, Diego, 2009. "Un modelo semiestructural de proyección para la economía peruana," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 17, pages 51-83.
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