IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

El canal de préstamos de la política monetaria en Colombia. Un enfoque FAVAR

Listed author(s):
  • Fernando Tenjo Galarza


  • Enrique López E.


  • Diego H. Rodríguez H.


En este trabajo se utiliza un modelo FAVAR (factor-augmented vector autoregression) con el fin de examinar el papel que las condiciones financieras de los bancos, reflejadas en información recopilada a nivel individual, tienen en la transmisión de la política monetaria. El tipo de modelo utilizado acá permite, así mismo, reconciliar los niveles de análisis macro y microeconómico. En el FAVAR se incluyen factores comunes macroeconómicos extraídos de un grupo de series macroeconómicas. Así mismo se incluyen factores obtenidos de las razones financieras construidas a partir de las hojas de balance de los bancos. Se encuentra que los factores construidos a partir de las razones de liquidez, solvencia y apalancamiento contribuyen a entender la dinámica macroeconómica. Sin embargo, esta dinámica es a su vez afectada por la postura de la política monetaria. Se encuentra también que la liquidez de los bancos es muy importante en la transmisión de los choques monetarios al resto de la economía. En general, esta investigación está en la línea de mejorar los análisis de política monetaria con modelos que consideren el crédito y los aspectos financieros de la economía.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
Download Restriction: no

Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 009198.

in new window

Length: 67
Date of creation: 19 Dec 2011
Handle: RePEc:col:000094:009198
Contact details of provider:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

in new window

  1. Ben S. Bernanke & Ilian Mihov, 1998. "Measuring Monetary Policy," The Quarterly Journal of Economics, Oxford University Press, vol. 113(3), pages 869-902.
  2. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2007. "A Robust Criterion for Determining the Number of Static Factors in Approximate Factor Models," LEM Papers Series 2007/19, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  3. Jushan Bai & Serena Ng, 2002. "Determining the Number of Factors in Approximate Factor Models," Econometrica, Econometric Society, vol. 70(1), pages 191-221, January.
  4. Bernanke, Ben S & Blinder, Alan S, 1992. "The Federal Funds Rate and the Channels of Monetary Transmission," American Economic Review, American Economic Association, vol. 82(4), pages 901-921, September.
  5. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2009. "A Robust Criterion for Determining the Number of Factors in Approximate Factor Models," Working Papers ECARES 2009_023, ULB -- Universite Libre de Bruxelles.
  6. Ben S. Bernanke & Mark Gertler, 1995. "Inside the Black Box: The Credit Channel of Monetary Policy Transmission," Journal of Economic Perspectives, American Economic Association, vol. 9(4), pages 27-48, Fall.
  7. Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2005. "Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach," The Quarterly Journal of Economics, Oxford University Press, vol. 120(1), pages 387-422.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:col:000094:009198. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Clorith Angélica Bahos Olivera)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.