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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. Reinhart, Carmen & Calvo, Guillermo, 2002. "Fear of floating," MPRA Paper 14000, University Library of Munich, Germany.
  2. Alberto Humala & Gabriel Rodriguez, 2010. "Foreign exchange intervention and exchange rate volatility in Peru," Applied Economics Letters, Taylor & Francis Journals, vol. 17(15), pages 1485-1491.
  3. 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.
  4. Jesús Fernández-Villaverde, 2010. "The econometrics of DSGE models," SERIEs- Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 1(1), pages 3-49, March.
  5. 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.
  6. Nicoletta Batini & Joseph Pearlman & Paul Levine, 2006. "Optimal Exchange Rate Stabilization in a Dollarized Economy with Inflation Targets," Computing in Economics and Finance 2006 148, Society for Computational Economics.
  7. Adrián Armas & Francisco Grippa, 2005. "Targeting Inflation in a Dollarized Economy: The Peruvian Experience," IDB Publications (Working Papers) 6827, Inter-American Development Bank.
  8. Eduardo Morón & Diego Winkelried, 2003. "Monetary Policy Rules for Financially Vulnerable Economies," IMF Working Papers 03/39, International Monetary Fund.
  9. Luis Felipe Céspedes & Roberto Chang & Andrés Velasco, 2004. "Balance Sheets and Exchange Rate Policy," American Economic Review, American Economic Association, vol. 94(4), pages 1183-1193, September.
  10. Bianca De Paoli, 2004. "Monetary Policy and Welfare in a Small Open Economy," CEP Discussion Papers dp0639, Centre for Economic Performance, LSE.
  11. Ester Faia & Tommaso Monacelli, 2008. "Optimal Monetary Policy in a Small Open Economy with Home Bias," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(4), pages 721-750, 06.
  12. 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.
  13. Tovar, Camilo Ernesto, 2008. "DSGE Models and Central Banks," Economics Discussion Papers 2008-30, Kiel Institute for the World Economy (IfW).
  14. Igor Ermolaev & Michel Juillard & Ioan Carabenciov & Charles Freedman & Douglas Laxton & Ondrej Kamenik & Dmitry Korshunov, 2008. "A Small Quarterly Projection Model of the US Economy," IMF Working Papers 08/278, International Monetary Fund.
  15. 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.
  16. 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.
  17. Carmen M. Reinhart & Vincent R. Reinhart, 2008. "Capital Inflows and Reserve Accumulation: The Recent Evidence," NBER Working Papers 13842, National Bureau of Economic Research, Inc.
  18. International Monetary Fund, 2009. "Adding Latin America to the Global Projection Model," IMF Working Papers 09/85, International Monetary Fund.
  19. John F. O. Bilson & Richard C. Marston, 1984. "Exchange Rate Theory and Practice," NBER Books, National Bureau of Economic Research, Inc, number bils84-1, Jan-Jun.
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