Browsing by Author "Muñoz-Salas, Evelyn"
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- Adopción del esquema de meta de inflación en Costa RicaThe Organic Law of the Central Bank of Costa Rica (BCCR) article 2, stablishes as its main objectives as ... to maintain the internal and external stability of the national currency and ensure its conversion to other currencies ... (Law 7558, 1995). In this context, internal stability is understood as providing low and stable inflation. During the first decade after this Law was passed (1995-2004) inflation remained in double-digit values (12.4% as an annual average), which contrasts with an average of 4.0% for the inflation of Costa Rica´s main trading partners.
- Análisis de sensibilidad de la banca comercial ante cambios en el entorno macroeconómicoThis document analyses the sensibility of response toward two of the major risks (liquidity and credit) that banking institutions confront when there are changes in the macroeconomic environment. Also, the work develops a clustering of bank entities taking as classification criteria its capability of response.One of the main results is that the average elasticity of reaction level is relatively low. However, there are significant extreme values that can be considered as the most vulnerable banks in the presence of changes of some macroeconomic variables. This banks should have a more strict following, in function of the future results that can be obtained with the use of other techniques due to the possibility of contagion effects when a considerable shock comes and deteriorates the financial development. Also we found that monetary variables produce less effects over liquidity and credit risks than real variables as Economic Activity Monthly Index (IMAE) and prices.In general terms, the banks are clustered from moderate to low reactions. This result can be either, convenient or inconvenient, depending on the Central Bank's point of view. If the criteria is to determine how volatile the behavior of banks can be against changes in the macroeconomic environment, this result is favorable in order to obtain financial system stability. However, if the criteria has to do with the capacity of Central bank policy instruments to affect banks financial developing, the results are not quiet promising.
- ¿Cómo cambian los precios en Costa Rica? Un análisis con microdatosThis paper analyzes the behavior of individual consumer prices in Costa Rica using more than 887 000 observations of price changes at the product and establishment levels, gathered by the National Institute of Statistics and Census (INEC) for the period August 2006 to December 2013 in order to compute the Consumer Price Index (CPI). The analysis focuses on four dimensions that are not always found together in studies of this nature: frequency, duration, magnitude and synchronization of changes. The characterization of price changes is done for two periods: one of low inflation that began in 2009 and a previous period in which Costa Rica experienced double-digit inflation rates. The analysis shows that the period of low inflation is associated with less frequent price changes, longer duration and lower magnitude in price variation. The evidence for all price changes is more consistent with a state-dependent scheme of price adjustment, although for groups like services and regulated items more empirical support is found for a time-dependent adjustment scheme.
- Criptoactivos: análisis e implicaciones desde la perspectiva del Banco Central de Costa RicaThough originally created as a way to avoid financial institutions, the development and wider use around the globe of certain type of assets called cryptocurrencies has been facilitated by an increased interest in new ways to accumulate value. New cryptographic technology, wider access to the internet, and an increase in processing capacity has contributed to this process. Some characteristics of this type of assets allow it to serve as means of exchange and store of value, which are characteristics shared with fiat currency minted by central banks. Those shared characteristics may confuse final users about potential uses and risks for personal financial decisions. The purpose of this technical note is to bring light in about the technological process involved in the creation of these assets, and the possible implications associated with its use.
- La Curva de Phillips en Costa RicaMuñoz-Salas, Evelyn; Rojas-Sánchez, Mario Alfredo; Sáenz-Castegnaro, Manrique; Tenorio-Chaves, EdwinThe main objective of this investigation is to estimate an Expectations Augmented Phillips Curve function with the error correction mechanism, applying the Engle and Granger’s two step method. This exercise was done before with annual data (Rojas, 2002) but the parameters were estimated with low precision. In this occasion, the model is estimated with quarterly data, for the period 1991.01 to 2001.04, with an econometric technique that restricts the long run behavior of the endogenous variable to converge to their cointegrating relationships (static) while allowing for short run adjustment dynamics. The main results allow us to infer that more than 90% of the domestic inflation rate’s behavior is explained as a function of the nominal devaluation rate, the external inflation rate, the output gap and the lagged domestic inflation rate. Also, the forecasting obtained with the this model one quarter ahead, had the best adjustment with respect other models (AR and no change)
- Efectos macroeconómicos de una depreciaciónAfter abanding the crawling peg regime in october 2006, the Costa Rican economy has experienced two abrupt depreciation episodes, in 2008 and 2014. The analysis of these two episodes shows that the observed depreciation is related to the increase of inflation, interest rates, and the lower economic growth. Within the labor market the depreciation episodes are related to lower employment and lower real wage. In this document we complement this descriptive analysis with the results of a counterfactual exercise based on Laverde (2015) in which we show the macroeconomic implications of having kept the crawling peg during the years after 2006. We also show the impact of a sudden devaluation of 5% induced by the Central Bank
- Un enfoque monetario de los efectos sobre precios y tasas de interés del tipo de cambio fijoThe purpose of this document is to discuss, from the monetary point of view, the long run effects of a fixed exchange rate regime on prices and interest rates.We develop a partial equilibrium model for the monetary sector of a small open economy in which we link fixed exchange rate to the process of money creation and inflation.Using this model, we compare two monetary policy scenarios. The first one assumes that the central bank is active and by open market operations tries to keep inflation under control; the other assumes that the central bank is passive and does not sterilize the foreign capital inflows. Those two scenarios allow us to reach at some analytical results about the long-term effects of the pegged exchange rate regime on the inflation rate.Next, we “parameterize” the model using the Costa Rican data and perform a simulation exercise. As a result, we get some numerical magnitudes of the costs of keeping the exchange rate fixed long time, expressed in terms of inflation and interest rates prevailing in the economy.Based on the simulation exercise, the model asserts that after 10 years of keeping the exchange rate pegged, the capacity of the monetary policy to achieve inflation rates below five percent has been eroded. Therefore, for the monetary policy to regain its active role, that is to be able to curb inflation, it is necessary that the exchange rate regime does not generate monetary disequilibria.
- Estimación de la tasa de interés real neutral para Costa Rica: 2009-2015A central bank that uses the interest rate as monetary policy instrument requires an estimation of the neutral real interest rate (NRIR) that allows it to define the monetary policy stance to achieve its inflation target.On June 2011, the Central Bank of Costa Rica started a new monetary policy strategy by establishing the monetary policy rate (TPM) as one of its policy instruments. This rate is the reference on the money market for transactions that financial intermediaries carry out among them and with the Central Bank, most of which are one-day operations in the “Integrated Liquidity Market” (MIL).Previous estimates of the NRIR for Costa Rica did not take into account the information embodied on the MPR. Common practice up to now, was to use average rates paid on liabilities by financial entities in order to obtain the NRIR indicator.This paper estimates the NRIR from actual values of the TPM for Costa Rica for the first time. On the basis of monthly data from 2002-2015 and combining the estimations obtained with different methodologies, we estimate the neutral real interest rate for Costa Rica to be around 1,4%.
- Estimación de la tasa de interés real neutral para la economía costarricense (1991-2006)The neutral real interest rate (NRIR) is the real interest rate consistent with output converging to potential output and therefore with stationary inflation in that sense, NRIR provides a guide to a central bank in setting its policy interest rate. The neutral real interest rate is an unobservable variable and economic theory implies that its dynamic response to shifts in output, technology and in the rate of consumption time preference. This paper presents the first estimations of NRIR for the Costa Rica economy, and uses monthly and quarterly data for the period 1991-2006. Four alternative ways are use to estimate the neutral rate of interest. The first approach approximates NRIR with the real ex-ante interest rate average during a period of inflation stability; this approximation is complemented with a second univariate technique based on Hodrick- Prescott filter. The last two specifications (multivariate) use the uncovered interest rate parity condition and a semi-structural model. The latter model applies the method suggested by Laubach and Williams, and uses the Kalman Filter to solve a bivariate model in order to estimate de NRIR and the potential output. The estimations suggest that during the period 2001-2006 the neutral real interest rate for Costa Rica was around 3%.
- Estimación de una función de reacción para la tasa de interés de política del Banco Central de Costa RicaIn this paper, we estimate a reaction function for the interest rate set by the Central Bank of Costa Rica in response to variables that are generally relevant to the monetary authorities. These variables include inflation, real GDP growth, international monetary reserves, devaluation, and net increase in domestic public debt. Our specification models the nominal interest rate level as a function of international interest rates, devaluation rate, inflation rate deviations from target, monetary reserves and real GDP deviations from long run trends, and domestic public debt growth. The results indicate that the Central Bank’s interest rate policy is consistent with its crawling peg regime defense and domestic prices stability goals. Particularly, the bank tends to increase the interest rate when the devaluation rate increases or when the level of international reserves decreases with respect to its trend. Also, the interest rate increases as a response to inflation rates that exceed the Bank’s target or when GDP grows faster than potential GDP. Finally, the interest rate also responds to net increases in domestic public debt, reflecting the effect of the Public Sector on the demand for funds.
- Estimaciones de la tasa de desempleo que no acelera la inflación (NAIRU) para Costa RicaIn this paper we present estimations of the Non-accelerating Inflation Rate of Unemployment or NAIRU for the Costa Rican economy. We highlight the following results: The NAIRU displays an upward trend since the early 90s which was accentuated after the Great Recession when the Costa Rican inflation rate exhibits historically low levels; the estimations of the unemployment gap (the difference between the observed unemployment rate and the NAIRU) indicates that this gap was negative in the nineties and the first half of 2000’s but became positive afterwards. At the second quarter of 2017, the different estimates of the unemployment gap coincide in pointing out that this gap was closed, indicating the absence of aggregate demand pressures. In addition, since 2004, there has been a strengthening in the relationship between inflation and the unemployment gap
- Evaluación para el establecimiento de un sistema de garantía de depósitos en el sistema financiero costarricenseThe main objective of this document is to evaluate of the impact of the establishment of a deposit insurance system, as it is proposed in the bill that reforms some statements of the Costa Rican Financial System, on the performance of the financial intermediaries. In order to do so, we calculated different liability covers and analyzed them in different scenarios.The main results indicate that in the case of the public banks, a fond like the one proposed in the bill, allows to reduce the net liabilities exposure from 40% to 18% approximately, which means that the contribution that the Government will have to make is reduced considerably; and as a result, the costs that the society must assume in terms of inflation in a situation of a possible financial problem of a public bank is also reduced.In the private banks it exists diversity in the capacity to cover the different liabilities, there are some banks that represent a high weight for the Fond proposed; and in other ones there are no cover problems.The methodology applied constitutes itself a contribution that has to be considered within an early warning system, since it shows indirectly the behavior of the quality of assets and the leverage.