Browsing by Author "Chaverri-Morales, Carlos Alberto"
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- Cronología del ciclo económico de Costa Rica 1976-2010The business cycle consists of expansions and contractions that take place on the aggregate economic activity, its identification and study is an important element for the design and implementation of economic policy. To estimate the business cycle chronology of Costa Rica, for the period between January 1976 and December 2010, it was used as a reference the Monthly Economic Activity Index. This series was applied the Hodrick-Prescott filter to extract the trend component and by difference, we identified the cyclical component. During this period, the available information identified nine complete cycles and one tenth that is not yet confirmed. The duration of which has been declining from the first cycle with a duration of 35 months (2, 91 years) to one of 19 months (1,58 years). During this period the average monthly rate of change of the ascending phase towards a peak was 0, 98% while for the downwards was -0, 08%. The ascending phase has been characterized, among other factors, by increases in the total factor productivity, increases in domestic and external demand and structural changes in the economy. In the case of the downwards trends stages of the cycles, they have been developed in the context of macroeconomic imbalances and fiscal deficits, internal and external factors and unfavorable international financial crisis occurred during 1997 (Asian crisis) and the recent global economic crisis that began in late 2007.
- Demanda por dinero en Costa Rica 2000-2010This paper estimates a short and long term real balances demand for broad and narrow definitions of money (M1, M2 and M3). It has been used the Engle and Granger methodology (1987) for the money demand specification. It also has a reference to the theoretical approach proposed by Bjørnland (2003). The study uses quarterly data and considers the money demand in terms of a scale variable that represents the income level of the economy. It includes interest rates and spreads on national and foreign currency as an opportunity cost. It also includes the expectations of exchange rate fluctuation, a measure of domestic inflation (CPI), and a variable of the technological development and the payment system efficiency in Costa Rica. The estimated long-term models fulfill the respective statistical evidence to conclude that they are stable. The results allow us to identify between 2000 and 2010 the income elasticity of narrow money (M1) was 1,05, for broad money definitions such as M2 and M3 the income elasticity were 1, 21 and 1, 02 respectively. In spite of the coefficients associated with the interest rate in colones and dollars, the expected exchange rate fluctuations, the technological change and inflation vary in sign and magnitude depending on the money definition. Regarding the short-term estimations, the long-term errors and the statistics values RMSE and U-Thiel were incorporated to let us conclude that these short run models are efficient to make forecasts over a horizon of no more further than eight quarters ahead.
- Dinámica inflacionaria y persistencia en Costa Rica: Periodo 1953-2009The paper adopts a univariate time series approach to estimate inflation persistence in Costa Rica in the period 1953-2009, defined as the speed at which the monthly inflation rate returns to its long-term equilibrium value after a shock. According to empirical evidence, when it is assumed that the average inflation rate remains unchanged in the period of study, the inflation is a highly persistent process (0.78). However, if it is recognize that this value changes depending on structural breaks and internal and external inflationary shocks, the estimated inflation persistence is reduced significantly (0.18) but would be influenced by the initial extended period of low inflation. When studying the most recent period (1997-2009), the estimate of inflation persistence is greater (between 0.31 and 0.42), and no evidence of structural change is found in the average monthly inflation rate due to adoption of the exchange rate band regime. A structural break is detected only if the same number of observations is taken into account before and after the date of adoption of the new exchange rate regime (October 2006), but the estimate of persistence does not change in statistical terms (0.47). When indirect evidence is used and alternative definitions of persistence are tested, the estimates obtained cover a wider range (0.53 to 0.93) and long periods of lag (22 to 33 months). However, it is possible that these alternative measures overestimate the persistence of inflation, given the use of annual growth rates. The main implication for monetary policy is that, given the dependence of current inflation not only on their short and long-term determinants but also on shocks from earlier periods, controlling inflation becomes a problem that is more complex than the simple handling of an interest rate of short-term monetary policy, gaining importance also the control of the main sources of inflation persistence reported in the literature, such as the very volatility of inflation, the mechanisms of price and wage indexation and problems of anti-inflationary policy credibility.
- Diseño de un indicador adelantado para la actividad económica de Costa RicaThis paper constructs three leading indicators that anticipate the turning points of the economic activity in Costa Rica. This is done following the methodology of the Organization for Economic Cooperation and Development (OECD). Given that Costa Rica is applying to become a member of the OECD, using the methodology developed by this organization could be useful not only to anticipate turning points of the Costa Rican economy, but also to compare it with the rest of the member countries. The business cycle from each of the series was extracted using the Hodrick and Prescott filter (1980), while the turning points of business cycles were obtained using the Bry and Boschan (1971) methodology. The IMAE (a monthly activity index for the Costa Rican economy) is selected as the reference series, the one intended to be anticipating with this indicator. A total of 270 data series are analyzed including monetary, real and labor variables, price indices, and indicators of the external and fiscal sectors. The real sector information was disaggregated into three levels, which include a classification with data at an industrial level using the International Standard Industrial Classification (ISIC) with two digits, information from the agricultural and manufacturing sector using the Central Products Classification. Three versions of the leading indicator are developed, one for each level of aggregation of the variables, resulting in average leads of 7 to 12 months.
- Encadenamientos productivos. Una aplicación a partir de los datos de la Matriz Insumo ProductoOne of the main applications of the input–output matrices is the study of the productive structure of the economy. One of the most successful applications of this subject is the identification of the most important activities within the economy, which is critical to developing public policies for boosting economic growth in the medium term. The goal of this work is to build the traditional indicators of production linkages- forward and backward- for the Costa Rican economy using the information from the Input Output Table 2011 (OIT-2011). The methodology is based on the work of Hirschman (1958) and Chenery and Watanabe (1958) and has been widely used to address various issues regarding the intra-industry linkages. The results confirm not only the consolidation process that has experienced the services sector as important activity of the Costa Rican economy, but also the idea that these activities generate highest forward linkages.
- Hechos estilizados de la economía costarricense: 1991-2012In this study, we present a description of the main stylized facts of the Costa Rican economy for the 1991-2012 period. This information is needed to have a better understanding of the business cycle by analyzing the volatility and co-movement of key macroeconomic variables. Five economic cycles have been identified, with decreasing length of its expansion and contraction phases. These cycles are explained both by internal factors as external factors: the effect of terms-of-trade variations, aggregate demand unbalances, adverse weather conditions and the impact of the international economic crises of 1997, 2001 and 2009. We found that the cycle of most industries is coincident with the GDP cycle. There is evidence, however, that the cycles of two industries (electricity and water, and mines and quarries) lead the GDP cycle, which makes them suitable inputs for the calculation of leading indicators of economic activity. The dependence of the Costa Rican economy on foreign demand is mirrored on a high contemporaneous correlation between the GDP cycle and that of exports, particularly of goods. Furthermore, the exports cycle is more volatile than that of the product. The correlations of inflation and unemployment indicators point to the existence of a Phillips-curve relationship in the Costa Rican economy, in which inflation responds with a lag of 4 quarters to movements in the product. Changes in GDP are associated with changes in an indicator of Central Bank monetary policy rate occurred 2 quarters before. The observed correlations do not suggest that supply factors are relevant in explaining the cycles in the Costa Rican economy. It has been found that the cycle of the employment in the tradable sectors leads the GDP cycle by 1-2 quarters and is less volatile than that of non-tradables.
- Indicador de Tasa de política monetaria del Banco Central de Costa RicaThis paper constructs an indicator for the monetary policy rate of the Central Bank of Costa Rica from 2000 onwards. This indicator is relevant because prior to February 2004, the BCCR lacked an explicit monetary policy rate as an instrument to operationalize its monetary strategy and after that date has changed several times its definition. This situation makes it dificult macroeconomic analysis around this variable so it is convenient to construct an indicator of monetary policy rate that is coherent over time and consistent with the current monetary control scheme.
- Límite Natural de Deuda para la economía costarricenseA complementary tool to those traditional indicators for analysis of debt sustainability is the indicator named Natural Debt Limit (NDL) proposed by Mendoza and Oviedo (2004). This limit determines the value of the debt as a share of GDP that is consistent with a commitment by the government to remain solvent in case of a crisis in the public finances that causes revenues and expenditures adjusted to minimum levels. Using data from the Central Government of Costa Rica -on an annual basis- and for the period between 1985 and 2015 it has been estimated that the value of the NDL for the Costa Rican economy is 48,6%. From the results that have been obtained and as part of the discussion that this research paper seeks to encourage it is relevant to mention that the absence of fiscal reforms to increase revenues or adjust public spending would cause in the short-term that the government debt exceeds the value of NDL. Moreover, an adjustment of public spending without improvements in tax revenues only delay the convergence of the current level of debt to the defined threshold. This could limit the actions of the monetary policy to fulfill its primary objective of price stability.
- Métodos de desagregación temporal con indicadores : Una aplicación para las actividades de la industria de Transporte, Almacenamiento y ComunicacionesThis paper conducts an exercise of temporal disaggregation of the value added series (in real terms) for the industry of transportation, storage and communications. This was done in order to compare the results obtained by three methods: Bassie (1958) in additive and multiplicative versions, Chow Lin’s (1971) and Denton’s (1971). The first method was applied using Excel, the second one using the program named as the author’s method developed by the BCCR, and the third one with the Bench program created by the Office of Statistics Canada.
- Pronósticos de inflación mediante técnicas bayesianasThe effectiveness of monetary policy under inflation targeting scheme proposed by the Central Bank of Costa Rica is based in the correct and timely forecast of inflation in order to design the best monetary policy actions. The purpose of this study is to develop a complementary tool to forecast inflation using a Bayesian approach. To that end, we estimate the methodologies of Bayesian Model Averaging and Weighted Average Least Squares. This forecast allows expanding and complementing the analysis actually estimated with the Macroeconomic Quarterly Projection Model (MQPM) of the Central Bank of Costa Rica. From the results of this evaluation, we show that for monthly data and forecast horizons from 1 to 12 months, you may find forecast by a Bayesian process that have greater predictive performance than the autoregressive model.