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Comparación de la transmisióon de choques de política monetaria en América Latina: Un panel VAR jerárquico

Author

Listed:
  • Fernando José Pérez Forero

    (Banco Central de Reserva del Perú)

Abstract

Este documento evalúa y compara los efectos de los choques de política monetaria en los países latinoamericanos donde se ha puesto en práctica el esquema de metas de inflación (Brasil, Chile, Colombia, México y Perú). Se estima un panel VAR jerárquico que permite utilizar los datos de manera eficiente y, al mismo tiempo, aprovechar la heterogeneidad entre países. Los choques monetarios se identifican con un procedimiento agnóstico que impone restricciones de cero y de signo. Encontramos un efecto de corto plazo real de la política monetaria sobre el producto (con un máximo alrededor de los 12 a 15 meses); una respuesta significativa de mediano plazo de los precios con la ausencia del llamado puzzle del precio y una respuesta en forma de joroba del tipo de cambio, es decir, evidencia débil del llamado puzzle de la sobrerreación retrasada. Sin embargo, encontramos un cierto grado de heterogeneidad en los efectos y la propagación de los choques monetarios entre países. En particular, encontramos efect más fuertes sobre el producto y los precios en Brasil y Perú con respecto a Chile, Colombia y México, y una reacción más fuerte del tipo de cambio en Brasil, Chile y Colombia en relación con México y Perú. Por último, se presenta la respuesta al impulso promedio ponderada después de un choque monetario, que es representativo de la región.

Suggested Citation

  • Fernando José Pérez Forero, 2015. "Comparación de la transmisióon de choques de política monetaria en América Latina: Un panel VAR jerárquico," Premio de Banca Central Rodrigo Gómez / Central Banking Award "Rodrigo Gómez", Centro de Estudios Monetarios Latinoamericanos, CEMLA, number prg2015, July-Dece.
    • Handle: RePEc:cml:prodgz:prg2015
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    References listed on IDEAS

    as
    1. Adriana Soares Sales & Maria Tannuri-Pianto, 2007. "Identification of Monetary Policy Shocks in the Brazilian Market for Bank Reserves," Working Papers Series 154, Central Bank of Brazil, Research Department.
    2. G. Terrier & Rodrigo O. Valdes & Camilo E Tovar Mora & Jorge A Chan-Lau & Carlos Fernandez Valdovinos & Mercedes Garcia-Escribano & Carlos I. Medeiros & Man-Keung Tang & Mercedes Vera Martin & W. Chri, 2011. "Policy Instruments to Lean Against the Wind in Latin America," IMF Working Papers 11/159, International Monetary Fund.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    vectores autorregresivos en paneles; restricciones de signo; modelos jerárquicos bayesianos;

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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