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Precio del petróleo y el ajuste de las tasas de interés en las economías emergentes

Author

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  • Paula Andrea Beltrán-Saavedra

    () (Banco de la República de Colombia)

Abstract

La caída en el precio internacional del petróleo tiene implicaciones importantes en el ciclo económico en las economías exportadoras de petróleo. De hecho, la literatura de ciclos económicos en economías emergentes presenta como hechos estilizados el comportamiento contracíclico de las tasas de interés y la vulnerabilidad ante choques en los precios de los commodities. Este documento presenta un modelo de equilibrio general, dinámico y estocástico (DSGE) para una economía pequeña, abierta y exportadora de petróleo para analizar el efecto de la caída del precio del petróleo. El canal a través del cual un choque negativo en el precio del crudo impacta el ciclo es un mecanismo de acelerador financiero que, endógenamente, genera un aumento en la prima de financiamiento que enfrenta la economía. Este mecanismo se deriva de un problema microfundamentado donde el sector petrolero se financia mediante intermediarios financieros internacionales. Varias extensiones del modelo se calibran para Colombia. Ante una caída en el precio del petróleo, se encuentra un aumento en el diferencial de tasas de interés, una depreciación de la tasa de cambio real y una caída en el producto. Las dinámicas simuladas del modelo calibrado para Colombia logran un ajuste adecuado para el producto y la prima de riesgo. Classification JEL: E32, E44, F41, H68, Q43.

Suggested Citation

  • Paula Andrea Beltrán-Saavedra, 2015. "Precio del petróleo y el ajuste de las tasas de interés en las economías emergentes," Borradores de Economia 901, Banco de la Republica de Colombia.
  • Handle: RePEc:bdr:borrec:901
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    References listed on IDEAS

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    More about this item

    Keywords

    Modelos de ciclos de negocios; Economías emergentes; Fricciones financieras; Commodities; Choques de petróleo;

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • H68 - Public Economics - - National Budget, Deficit, and Debt - - - Forecasts of Budgets, Deficits, and Debt
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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