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Midiendo los efectos de la política monetaria a través de las expectativas de mercado

  • Lahura, Erick

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/23/ree-23-lahura.pdf
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Article provided by Banco Central de Reserva del Perú in its journal Revista Estudios Económicos.

Volume (Year): (2012)
Issue (Month): 23 ()
Pages: 39-52

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Handle: RePEc:rbp:esteco:ree-23-03
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  1. Bagliano, Fabio C. & Favero, Carlo A., 1999. "Information from financial markets and VAR measures of monetary policy," European Economic Review, Elsevier, vol. 43(4-6), pages 825-837, April.
  2. Christopher A. Sims, 1992. "Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy," Cowles Foundation Discussion Papers 1011, Cowles Foundation for Research in Economics, Yale University.
  3. Lahura, Erick, 2010. "The Effects Of Monetary Policy Shocks In Peru: Semi-Structural Identification Using A Factor-Augmented Vector Autoregressive Model," Working Papers 2010-008, Banco Central de Reserva del Perú.
  4. Refet S. Gürkaynak & Brian Sack & Eric Swanson, 2006. "Market-based measures of monetary policy expectations," Working Paper Series 2006-04, Federal Reserve Bank of San Francisco.
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  7. Gordon, David B & Leeper, Eric M, 1994. "The Dynamic Impacts of Monetary Policy: An Exercise in Tentative Identification," Journal of Political Economy, University of Chicago Press, vol. 102(6), pages 1228-47, December.
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  9. Rudebusch, Glenn D, 1998. "Do Measures of Monetary Policy in a VAR Make Sense?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 907-31, November.
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  12. Rossini, Renzo & Vega, Marco, 2007. "El mecanismo de transmisión de la política monetaria en un entorno de dolarización financiera: El caso del Perú entre 1996 y 2006," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 14, pages 11-32.
  13. Kuttner, Kenneth N., 2001. "Monetary policy surprises and interest rates: Evidence from the Fed funds futures market," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 523-544, June.
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  15. 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.
  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.
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  20. Salas, Jorge, 2011. "Estimación bayesiana de unmodelo de pequeña economía abierta con dolarización parcial," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 22, pages 41-62.
  21. Lastrapes, William D. & Selgin, George, 1995. "The liquidity effect: Identifying short-run interest rate dynamics using long-run restrictions," Journal of Macroeconomics, Elsevier, vol. 17(3), pages 387-404.
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  24. Quispe Misaico, Zenón, 2000. "Política monetaria en una economía con dolarización parcial: el caso del Perú," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 6.
  25. Eric M. Leeper & Christopher A. Sims & Tao Zha, 1996. "What Does Monetary Policy Do?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 27(2), pages 1-78.
  26. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
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