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Impactos y canales de transmisión de la política monetaria en Colombia: 2008-2019

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  • Nicolás Rivera Garzón

Abstract

El objetivo del artículo es identificar los impactos y los canales de transmisión de la política monetaria en la economía colombiana para el periodo 2008:M2 a 2019:M2. Para ello, se estima un modelo de vectores autorregresivos aumentado con variables exógenas (VAR-X) para cada canal con sus respectivas funciones de impulso respuesta y pruebas de causalidad de Granger. Los resultados obtenidos demuestran la existencia de los canales de transmisión de tasa de interés, tipo de cambio y préstamo bancario; además, niegan la existencia del canal de hoja de balance. Los impactos más significativos sobre la producción industrial y la variación porcentual del IPC son generados por el canal de tipo de cambio; seguidos en magnitud por los canales de tasa de interés y préstamo bancario. *** The objective of the article is to identify the impacts and transmission channels of monetary policy in the Colombian economy for the period 2008:M2 to 2019:M2. With this objective in mind, we estimate a model of autoregressive vectors augmented with two exogenous variables (VAR-X) for each channel with their respective impulse response functions and Granger causality tests. The results obtained show the existence of transmission channels of interest rate, exchange rate and bank loan; in addition, they deny the existence of the balance sheet channel. The most significant impacts on industrial production and the percentage variation of the CPI are generated by the exchange rate channel; followed in magnitude by the interest rate and bank loan channels.

Suggested Citation

  • Nicolás Rivera Garzón, 2019. "Impactos y canales de transmisión de la política monetaria en Colombia: 2008-2019," Econógrafos, Escuela de Economía 17580, Universidad Nacional de Colombia, FCE, CID.
    • Handle: RePEc:col:000176:017580
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    File URL: http://fce.unal.edu.co/centro-editorial/docs/econografos-escuela-economia/144-impactos-y-canales-de-transmision-de-la-politica-monetaria-en-colombia-2008-2019
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    More about this item

    Keywords

    política monetaria; canales de transmisión; impactos monetarios; vectores autorregresivos;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • N16 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations - - - Latin America; Caribbean

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