Browsing by Author "Gómez-Rodríguez, Fabio"
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- An Endogenous Regime Switching Model for the Exchange Rate Pass-Through Effect in Costa RicaEntendiendo el efecto de traspaso (ET) es crucial para la conducción de políticas de una economía pequeña y abierta como la de Costa Rica. En este documento, proponemos un modelo de vectores autorregresivos con cambio de régimen endógeno (RS-VAR) para estudiar el efecto de transmisión del tipo de cambio en Costa Rica. Identificamos dos regímenes: ET alto y ET bajo. Este modelo permite que las probabilidades de transición sean influenciadas por variables endógenas como la inflación, los precios del petróleo y el tipo de cambio. Encontramos que: i) el ET es de 4.5% en el régimen bajo y de 60% en el régimen alto, ii) un bajo ET resulta de períodos de alta volatilidad del tipo de cambio y, iii) un choque de inflación aumenta la probabilidad de una baja transmisión. Dada la evidencia, recomendamos considerar el ET oscila entre períodos de alta y baja magnitud en lugar de tener un valor único.
- Cálculo del parámetro de suavizamiento del filtro Hodrick-Prescott para Costa RicaThe Hodrick-Prescott filter decomposes time series in its trend and cycle components. Applications of this filter include the analysis of production or economic activity time series to study business cycles. The filter’s smoothing parameter (λ) varies for each country (Marcet and Ravn 2003). This technical note describes the estimation of the parameter λ for the case of Costa Rica. The values obtained are λ =1 677 for the quarterly series of GDP, λ =15 917 for monthly and λ =26 for yearly. For the monthly economic activity index λ =13 176.
- Implementación de la curva soberana estimada por el BCCR en las pruebas de tensión de instrumentos de renta fijaThis technical note describes the procedure currently used by the Central Bank of Costa Rica (BCCR, by its initials in Spanish) to conduct stress tests on the portfolios of financial entities. The analysis identified two opportunities for improvement compared to the current practice; a procedure that was implemented as part of a technical assistance provided by the IMF. First, the stress tests are calculated based on the estimation of the PAR yield curves in colones and dollars carried out by the BCCR, which better reflect the behavior of the Costa Rican market. Secondly, resampling methods are used to determine the loss distribution based on available data, rather than using only predefined shocks, which facilitates the comparison of the predefined shocks currently used with the actual observed events. In conclusion, it is recommended to implement these two improvements in the execution of the stress tests.
- Series de tiempo funcionales en el análisis de la encuestas de expectativas de inflación en Costa RicaExpected inflation surveys show, month by month, a variety perspectives on inflation’s future path. Statistics such as the mean, median, and percentiles typically summarize the information contained in these surveys. This paper uses functional time series to analyze the entire distribution of inflation expectations surveys. Functional components become crtitical in sumarzing the data. The analysis consists of three exercises: i) complete, through simulations and macroeconomic variables, the interruption of these surveys from December 2020 to November 2021, ii) predict what will be the density function (and with it the distribution) of inflation expectations for the current month and iii) generate an expected inflation instrument based on data from surveys and the market that allows interpreting expectations and taking advantage of their predictive power. It is recommended to use the entire distribution of inflation expectations in monetary policy analysis.