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Browsing Documentos académicos by Author "Brenes-Soto, Carlos"
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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.
- Asimetrías en el traspaso del tipo de cambio durante el periodo de flexibilidad cambiaria en Costa RicaThe paper analyses the exchange rate pass-through to domestic prices in Costa Rica during the current exchange rate flexibility period and tests whether there is evidence of asymmetry. For this end, we estimate structural distributed lag models that encompasses symmetric and asymmetric data generating process in line with Kilian y Vigfusson (2011). We found evidence of sign asymmetry in the bivariate relationship between inflation and exchange rate and when controlling for interest rate differential and output gap.
- Los efectos de la crisis financiera de 2008 en el tipo de cambio real de equilibrio en Costa RicaWe study how the changes in international trade flows observed after the 2008 financial crisis affected the Costa Rican balance of payments accounts, and how the equilibrium real exchange rate reacted to these changes. To fulfill this objective, we estimate long term relations between the balance of payments accounts and their fundamentals. In these estimations, we include a structural change variable to capture the financial crisis effects on the behavior of these variables. Further, we estimate the Equilibrium Real Exchange Rate by using the Fundamental Equilibrium Exchange Rate (FEER) and Desired Equilibrium Exchange Rate (DEER) methodologies. The results show that the exports and imports elasticity with respect to the real exchange rate decreased after the crisis. Consequently, by considering the effect of the crisis, we conclude that the real exchange rate falldown observed between 2008 and 2011 can be explained by movementes in its equilibrium value. However, between 2012 and 2016 we observed a small real appreciation, which can be associated to sovereign debt issues in international markets during that period.
- Indicadores de inflación subyacente: una actualizaciónBarrantes-Castillo, Kevin; Brenes-Soto, Carlos; Herra-Leandro, Melissa; Jiménez-Montero, Susan; Vindas-Quesada, Alberto JoséIn this document, we update the five core inflation indicators that the Central Bank of Costa Rica publishes, using data up to April 2021. We evaluate several statistical properties that core inflation indicators should satisfy. The structural break in inflation, identified after September 2021, resulted in adjustments in four of the indicators.
- Regionalización de la matriz insumo-producto costarricenseInput-output matrices are economic analysis tools used to characterize production and, based on this, develop simulation models of the effects of public policy implementations or shocks in the economy. Despite this and because of how they are constructed, these tools do not allow the study of interregional trade within the country. This document describes the main aspects of the regionalization process of the 2017 national input-product matrix available by the Central Bank of Costa Rica (BCCR) by canton, and uses information from its Registro de variables económicas. We show statistics included from the production and trade network and an application of a bilateral cantonal trade model. Finally, an application of the cantonal input-output matrix is shown by analyzing the impact of the COVID-2019 pandemic and its impact on cantons and economic activities.