### Browsing by Author "Solera-Ramírez, Álvaro"

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- Demanda privada real de créditoKikut-Valverde, Ana Cecilia; Odio-Chinchilla, Jaime; Sáenz-Castegnaro, Manrique; Solera-Ramírez, ÁlvaroA demand for credit by the private sector is estimated for Costa Rica based on monthly data over the period 1995 – 2001. This demand is modeled as a function of the real interest rate on lending, real economic activity, and expected future growth in production. We calculate a lending interest rate as the (weighted) average of interest rates across economic activities and across dollar and local currency denominated loans. Given the large proportion of dollar denominated loans in the current banking system portfolio, this is a significant improvement over previous studies typically based on the lending rate for only local currency-denominated loans. Since the interest rate may be an endogenous variable in this model (i.e. correlated with the error term in the demand for credit equation), the US Prime Rate is used as an instrumental variable in a two -stage least squares regression. The results of the regression analysis using two -stage least squares indicates that the semi-elasticity of real private credit with respect to the real interest rate is –4.08. Given an average (lending) real interest rate of 12.9% this implies an interest-elasticity close to –0.53. As expected, this estimate is higher (in absolute value) than the one obtained using OLS. The estimated elasticity of credit demand with respect to economic activity is 1.87. Finally, a one percentage-point increase in expected production growth (proxied by futures effective growth) is estimated to produce a 0.3 percent in demand for real credit.
- Efectos asimétricos de la política monetariaThe objective of this paper is to obtain empirical evidence about the existence of asymmetric effects of monetary policy over economic activity, based on interest rate behavior. Monetary policy shows an asymmetric effect when an interest rate over their fundamental level have an impact on economic activity that is significantly different from that when interest rate are below its fundamental level. Changes in interest rate that reflect changes of policy are identified using two stage least squares. In the first stage, the fundamental level of the interest rate is estimated with a modified Taylor rule and residuals are used to identify the state of the policy. The second stage consists of a regression of the real output on a constant and lagged values of the positive and negative residuals obtained in the first stage. The asymmetry would come determined by the statistical significance of individual coefficients of positive and negative residuals and the difference between them. The empirical evidence, over the 1994:01-2002:11 period, suggests the existence of weak asymmetry of monetary policy. Although increases and reductions in interest rate affect the production level significantly, the difference of the impact is not significant.
- Filtro de KalmanThe Kalman filter is a set of mathematical equations that provides an efficient computational (recursive) solution of the least-squares method. The goal is to find unbiased minimum variance lineal estimator of the state at time t with base in available information at time t-1 and update with the additional available information at time t that estimator. This filter is the principal algorithm to estimate dynamic systems specified in state-space form.
- Inflación e incertidumbre inflacionaria : evidencia para Costa RicaThis paper estimates a measure of inflationary uncertainty. An inflation model signals uncertainty when the forecast errors are heteroskedastic. By the specification of a GARCH (Generalized Autoregressive Conditional Heteroscedasticity) equation, for the variance of the error term of the inflation model, it is possible to estimate a proxy for inflationary uncertainty. By the simultaneous estimation of the inflation model and the GARCH equation, a new inflation model is obtained in which the forecast errors are homocedastic. Most economists agree that there is a positive correlation between inflationary uncertainty and the magnitude of the inflation rate, which, as was pointed out by Friedman (1977), represents one of costs associated with the persistence of inflation. This is because such uncertainty clouds the decision-making process of consumers and investors.The empirical evidence for the period 1954:01-2002:08 confirms that in the case of Costa Rica inflationary uncertainty increases as inflation rises. However, in the last six years (1997-2002) the uncertainty has showed a reduction in magnitude to the point that it has become negligible. In addition, inflation has an asymmetric effect on inflationary uncertainty. That is, when the inflation forecast is below the actual inflation, inflationary uncertainty increases for the next period. The opposite happens when the inflation forecast is above the observed rate of inflation, but the absolute value of the change on uncertainty is greater in the first case than the second. These results have a clear implication for monetary policy. To minimize the disruptions that inflation causes to the economic decision-making process, it is necessary to pursue, not only a low level of inflation, but a stable one as well.
- Medidas de núcleo inflacionario para Costa RicaThis paper builds and evaluates several alternative measures of core inflation for Costa Rica. The chosen measure of core inflation is contrasted with the core inflation index (INI), which is the indicator of underlying inflation used today by the Central Bank of Costa Rica (BCCR). The main idea is that core inflation is a good indicator of the underlying inflation and catches the part of overall price change common to all the goods and services that is expected to persist in the medium-term and long-term, and excludes changes in the relative prices of goods and services.The Underlying Inflation Index (ISI) is defined as a measure of core inflation which excludes 30,7% of the total weight of the Consumer Price Index (IPC), it is the most closely related with inflation´s underlying trend and catches the component of overall price change that is expected to persist in the general level of prices. Furthermore, the ISI is easy to compute and to follow, increasing the transparency and credibility of monetary policy and moreover is a timely indicator increasing its value for the monetary policy makers. Finally, the ISI exceed some limitations of INI, as the absence of statistic criterion to define the cutting point of goods and services to exclude and the high percent of total weight eliminated of IPC.
- Pronóstico de inflación en Costa Rica: Una estimación con redes neuronales artificialesThis paper presents three models to forecast inflation using Artificial Neural Networks (ANN). The ANN method captures non-linearities between variables, therefore it could be a powerful alternative to standard regression and time series forecasting. When modeling economic variables is often assumed that there are linear relationships. However, the argument of linearity cannot be justified when it is known that monetary policy has asymmetric effects on the price level. Since there is consensus that long run inflation has a monetary origin, two of the models elaborated include monetary aggregates hoping that they will contain useful information about future inflation. The ANN models have shown better performance in forecasting inflation than those monthly updated models that the Economic Division have been using. The model called Ingenue is the only one which is not excelled. On the other hand, the number of models to analyze future inflation is increased and monetary variables which were absent in other forecasting models are incorporated.