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Estimación de Var Bayesianos para la Economía Chilena

  • Patricio Jaramillo

In this paper I estimate Bayesian vector autoregressive models (BVAR) for the Chilean economy. Under this approach, I study the transmission mechanisms of the monetary policy and forecasting for the main macroeconomics variables. I contrast these results with standard VAR estimates and discuss the implications for monetary policy design.

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Paper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 508.

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Date of creation: Dec 2008
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Handle: RePEc:chb:bcchwp:508
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  1. CHUMACERO Rómulo, . "A Toolkit for Analyzing Alternative Policies in the Chilean Economy," EcoMod2003 330700037, EcoMod.
  2. Robert B. Litterman, 1985. "Forecasting with Bayesian vector autoregressions five years of experience," Working Papers 274, Federal Reserve Bank of Minneapolis.
  3. Daniel Racette & Jacques Raynauld & Christian Sigouin, . "An Up-to-Date and Improved BVAR Model of the Canadian Economy," Staff Working Papers 94-4, Bank of Canada.
  4. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-44, January.
  5. Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez & Thomas J. Sargent & Mark Watson, 2006. "A,B,C's (and D's)'s for Understanding VARS," Levine's Bibliography 321307000000000646, UCLA Department of Economics.
  6. Fabián Gredig & Klaus Schmidt-Hebbel & Rodrigo Valdés, 2007. "The Monetary Policy Horizon in Chile and Other Inflation-Targeting Countries," Working Papers Central Bank of Chile 438, Central Bank of Chile.
  7. Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1983. "Forecasting and Conditional Projection Using Realistic Prior Distributions," NBER Working Papers 1202, National Bureau of Economic Research, Inc.
  8. Raimundo Soto & Raphael Bergoeing, 2002. "Testing Real Business Cycle Models in an Emerging Economy," Documentos de Trabajo 219, Instituto de Economia. Pontificia Universidad Católica de Chile..
  9. O'Ryan, Raúl & De Miguel, Carlos J. & Pereira, Mauricio & Lagos, Camilo, 2008. "Impactos económicos y sociales de shocks energéticos en Chile: un análisis de equilibrio general," Medio Ambiente y Desarrollo 136, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
  10. Rangan Gupta & Moses M. Sichei, 2006. "A BVAR Model for the South African Economy," Working Papers 200612, University of Pretoria, Department of Economics.
  11. Raphael Bergoeing & Juan Enrique Suarez, 2001. "¿Qué Debemos Explicar? Reportando las Fluctuaciones Agregadas de la Economía Chilena," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines, vol. 16(1), pages 145-166, June.
  12. Condon, Timothy & Corbo, Vittorio & de Melo, Jaime, 1985. "Productivity growth, external shocks, and capital inflows in Chile: A general equilibrium analysis," Journal of Policy Modeling, Elsevier, vol. 7(3), pages 379-405.
  13. Verónica Mies & Felipe Morandé & Matías Tapia, 2002. "Política Monetaria y Mecanismos de Transmisión: Nuevos Elementos para una Vieja Discusión," Working Papers Central Bank of Chile 181, Central Bank of Chile.
  14. Canova, Fabio & Ciccarelli, Matteo, 2001. "Forecasting and Turning Point Predictions in a Bayesian Panel VAR Model," CEPR Discussion Papers 2961, C.E.P.R. Discussion Papers.
  15. Kenny, Geoff & Meyler, Aidan & Quinn, Terry, 1998. "Bayesian Var Models for Forecasting Irish Inflation," Research Technical Papers 4/RT/98, Central Bank of Ireland.
  16. Christopher A. Sims & Tao Zha, 1999. "Error Bands for Impulse Responses," Econometrica, Econometric Society, vol. 67(5), pages 1113-1156, September.
  17. Villani, Mattias, 2001. "Bayesian prediction with cointegrated vector autoregressions," International Journal of Forecasting, Elsevier, vol. 17(4), pages 585-605.
  18. DeJong, David N. & Ingram, Beth F. & Whiteman, Charles H., 2000. "A Bayesian approach to dynamic macroeconomics," Journal of Econometrics, Elsevier, vol. 98(2), pages 203-223, October.
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