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Transmisión de Choques de Política Monetaria de Estados Unidos sobre América Latina: Un Enfoque GVAR

Author

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  • Flores, Jairo

    (Banco Central de Reserva del Perú)

Abstract

Este trabajo estudia la transmisión de choques de política monetaria de EUA sobre América Latina especificando su interrelación con el resto del mundo a través de sus vínculos comerciales. Para ello, se utiliza el enfoque GVAR que permite estudiar la interdependencia a nivel de países y variables con datos de frecuencia mensual desde 2003 hasta 2014. Además, dado que la tasa de política de la Fed se encuentra cercana del límite inferior cero desde la crisis financiera, se emplea una medida alternativa construida en Wu & Xia (2014) llamada “shadow federal funds rate". Se encuentra que un choque de política monetaria contractiva en EUA ocasiona la respuesta esperada sobre sus principales variables domésticas y produce una disminución significativa y persistente de la actividad económica y de los precios en los países de la región.

Suggested Citation

  • Flores, Jairo, 2015. "Transmisión de Choques de Política Monetaria de Estados Unidos sobre América Latina: Un Enfoque GVAR," Working Papers 2015-018, Banco Central de Reserva del Perú.
  • Handle: RePEc:rbp:wpaper:2015-018
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    References listed on IDEAS

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    Cited by:

    1. José Luis Nolazco & Patricia Lengua-Lafosse & Nikita Céspedes, 2016. "Contribución de los choques externos en el crecimiento económico del Perú: un modelo semi-estructural," Working Papers 2016-80, Peruvian Economic Association.

    More about this item

    Keywords

    GVAR; política monetaria; América Latina;

    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
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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