IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/69349.html

Impacto de política monetaria: una revisión empírica 2000 – 2013
[Impact of monetary policy: an empirical review 2000 - 2013]

Author

Listed:
  • Anzoategui Zapata, Juan Camilo

Abstract

This paper analyzes for the period 2000 - 2013 the transmission mechanism of monetary policy in Colombia, focusing on how the Bank of the Republic and its inflation targeting strategy affects through the intervention interest rate, the M2 and the consumer loans to total inflation and therefore the purchasing power. This is done through a procedure Johansen cointegration analyzing and short –and long– term vector autoregression model - VECM. For the period of analysis is evidence of price paradox, ie, against increases in the intervention interest rate total inflation responds with a persistent increase. It is also found that for the long term there is an inverse relationship between consumer credit and inflation, the above reflected in a greater financial deepening accompanied by a strong disinflationary policy by the issuer.

Suggested Citation

  • Anzoategui Zapata, Juan Camilo, 2015. "Impacto de política monetaria: una revisión empírica 2000 – 2013 [Impact of monetary policy: an empirical review 2000 - 2013]," MPRA Paper 69349, University Library of Munich, Germany, revised 01 Dec 2014.
    • Handle: RePEc:pra:mprapa:69349
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/69349/1/MPRA_paper_69349.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Sergio Clavijo, 2002. "Política monetaria y cambiaria en Colombia: progresos y desafíos (1991-2002)," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 20(41-42), pages 87-142.
    2. Miguel Urrutia, 2002. "UNA VISI�N ALTERNATIVA: La Pol�tica Monetaria y Cambiaria en la �ltima D�cada," Borradores de Economia 3731, Banco de la Republica.
    3. A. W. Phillips, 1958. "The Relation Between Unemployment and the Rate of Change of Money Wage Rates in the United Kingdom, 1861–1957," Economica, London School of Economics and Political Science, vol. 25(100), pages 283-299, November.
    4. Sergio Clavijo, 2002. "Política monetaria y cambiaria en Colombia: progresos y desafíos (1991-2002)," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República.
    5. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    6. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    7. Sergio Clavijo, 2002. "Pol�Tica Monetaria Y Cambiaria En Colombia:Progresos Y Desaf�Os 1991-2002," Borradores de Economia 3335, Banco de la Republica.
    8. Robert Engle & Clive Granger, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    9. Sergio Clavijo, 2002. "Política monetaria y cambiaria en Colombia: progresos y desafíos (1991-2002)," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 20(41-42), pages 87-142, June.
    10. Andrés Felipe Londono & Jorge Andr�s Tamayo & Carlos Alberto Vel�squez, 2012. "Dinámica de la política monetaria e inflación objetivo en Colombia: una aproximación FAVAR," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 30(68), pages 14-71.
    11. Edmund S. Phelps, 1968. "Money-Wage Dynamics and Labor-Market Equilibrium," Journal of Political Economy, University of Chicago Press, vol. 76(4), pages 678-678.
    12. Kydland, Finn E & Prescott, Edward C, 1977. "Rules Rather Than Discretion: The Inconsistency of Optimal Plans," Journal of Political Economy, University of Chicago Press, vol. 85(3), pages 473-491, June.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Keshab Bhattarai, 2008. "An empirical study of interest rate determination rules," Applied Financial Economics, Taylor & Francis Journals, vol. 18(4), pages 327-343.
    2. Andrew Phiri, 2018. "Pursuing the Philips curve in an African monarchy: A Swazi case study," Working Papers 1832, Department of Economics, Nelson Mandela University.
    3. Phiri, Andrew, 2018. "Pursuing the Phillips curve in an African monarchy: The Swazi case," MPRA Paper 89199, University Library of Munich, Germany.
    4. Bardsen, Gunnar & Eitrheim, Oyvind & Jansen, Eilev S. & Nymoen, Ragnar, 2005. "The Econometrics of Macroeconomic Modelling," OUP Catalogue, Oxford University Press, number 9780199246502.
    5. Mauricio A. Hernández Monsalve & Ramón Javier Mesa, 2006. "La experiencia colombiana bajo un régimen de fluctuación controlada del tipo de cambio: el papel de las intervenciones bancarias," Revista Lecturas de Economía, Universidad de Antioquia, CIE.
    6. Nurudeen Abu, 2019. "Inflation and Unemployment Trade-off: A Re-examination of the Phillips Curve and its Stability in Nigeria," Contemporary Economics, Vizja University, vol. 13(1), March.
    7. Yap, Wei Yim & Lam, Jasmine S.L., 2006. "Competition dynamics between container ports in East Asia," Transportation Research Part A: Policy and Practice, Elsevier, vol. 40(1), pages 35-51, January.
    8. Mauricio, Jose Alberto, 2006. "Exact maximum likelihood estimation of partially nonstationary vector ARMA models," Computational Statistics & Data Analysis, Elsevier, vol. 50(12), pages 3644-3662, August.
    9. La, Le & Mei, Bin, 2015. "Portfolio diversification through timber real estate investment trusts: A cointegration analysis," Forest Policy and Economics, Elsevier, vol. 50(C), pages 269-274.
    10. Osmani Teixeira de Carvalho de Guillén & Carlos Hamilton Vasconcelos Araújo, 2005. "O Mecanismo De Transmissão Da Taxa De Câmbio Para Índices De Preços: Uma Análise Vecm Para O Brasil," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33rd Brazilian Economics Meeting] 034, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    11. Martin T. Bohl & Alexander Pütz & Pierre L. Siklos & Christoph Sulewski, 2018. "Information Transmission under Increasing Political Tension – Evidence for the Berlin Produce Exchange 1887-1896," CQE Working Papers 7618, Center for Quantitative Economics (CQE), University of Muenster.
    12. Ericsson, Neil R & Hendry, David F & Mizon, Grayham E, 1998. "Exogeneity, Cointegration, and Economic Policy Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 370-387, October.
    13. Chu, Quentin C. & Pittman, Deborah N. & Yu, Linda Q., 2003. "Real rates, nominal rates, and the Fisherian link," International Review of Financial Analysis, Elsevier, vol. 12(2), pages 189-205.
    14. Moustfa Ismael Khaleel & Ahmed Younis Jabbar & Maha Kalai & Rima Aloulou & Kamel Helali, 2024. "An Applied Study of the Symmetric and Asymmetric Impact of Oil Prices and International Financial Markets on Economic Growth in Iraq," International Journal of Energy Economics and Policy, Econjournals, vol. 14(4), pages 66-80, July.
    15. Martin Gürtler, 2019. "Dynamic analysis of trade balance behavior in a small open economy: the J-curve phenomenon and the Czech economy," Empirical Economics, Springer, vol. 56(2), pages 469-497, February.
    16. Hali J. Edison & William R. Melick, 1992. "Purchasing power parity and uncovered interest rate parity: the United States 1974-1990," International Finance Discussion Papers 425, Board of Governors of the Federal Reserve System (U.S.).
    17. Urbain, Jean-Pierre, 1995. "Partial versus full system modelling of cointegrated systems an empirical illustration," Journal of Econometrics, Elsevier, vol. 69(1), pages 177-210, September.
    18. Charles Yuji Horioka & Akiko Terada-Hagiwara, 2016. "The Impact of Pre-marital Sex Ratios on Household Saving in Two Asian Countries: The Competitive Saving Motive Revisited," ISER Discussion Paper 0975, Institute of Social and Economic Research, The University of Osaka.
    19. Eda BALIKÇIOĞLU & Kutay OKTAY, 2015. "Türkiye’de Turizm Gelirleri ve Ekonomik Büyüme İlişkisinin Kamu Politikaları Doğrultusunda Değerlendirilmesi," Sosyoekonomi Journal, Sosyoekonomi Society, issue 23(25).
    20. Kausik Chaudhuri & Alok Kumar, 2015. "A Markov-Switching Model for Indian Stock Price and Volume," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 14(3), pages 239-257, December.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    JEL classification:

    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • 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

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:69349. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.