Browsing by Author "Monge-Badilla, Carlos"
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- Assessing public debt sustainability for Costa Rica using the fiscal reaction functionEsta investigación hace un análisis empírico sobre la sostenibilidad de la deuda soberana costarricense con base en tres enfoques complementarios: el cálculo del balance primario estabilizador del balance fiscal, que se obtiene de la restricción presupuestaria inter temporal del gobierno; la estimación de los parámetros de la función de reacción fiscal (FRF), con base en la metodología propuesta por Bohn (2007) y la estimación de gráficos de abanico para el balance fiscal primario y la deuda pública, como porcentajes del PIB, con base en la propuesta de Celasun et al. (2006). Con datos anuales desde 1974 hasta 2018, se muestra que el comportamiento de la deuda ha sido insostenible en diferentes momentos bajo el indicador de largo plazo, lo que se refleja también en la conducta de corto plazo. Para las observaciones más recientes, la conclusión es que la deuda tiene una trayectoria insostenible. Sin embargo, dado que a finales del 2018 se aprobó una reforma fiscal con cambios en ingresos y gastos, se agregó el análisis bajo incertidumbre de la trayectoria esperada de la deuda hasta el 2023 y 2030 con base en las proyecciones de dicho cambio regulatorio. El resultado muestra que el nivel más alto de la razón de deuda al PIB sería 68% en el 2026, momento a partir del cual se revierte la tendencia (al alza).
- Combinación de estimaciones del producto potencial con un método bayesianoIn this paper, we calculated the potential output for the Costa Rican economy. First, we applied several different methods to calculate this non-observable variable, such as the Beveridge-Nelson decomposition, Hodrick-Prescott filter, production function, Kalman filter, and SVAR. Then, we combined the results of these methods using Bayesian Model Averaging (BMA) and a Phillips curve. Finally, we obtained optimal weights for each estimated potential product and estimated an indicator of the potential output series.
- Control y administración de riesgo sistémico en operadores financieros de gran tamañoThis document collects and studies the policy measures taken by international entities to manage systemic risk caused by systemically important financial institutions (SIFIs), especially the Too Big to Fail entities. From this, this paper analyzes the regulatory framework designed by developed financial systems as well as their evolution in the international financial crisis context. Finally, it analyzes several macroprudential policy topics, as well as its scope in determining the new regulation and supervision model, which currently is designed by various international institutions.
- Estimación de una función de producción para Costa Rica 1978 - 2010This paper estimates a production function for Costa Rican economy, for the period 1978-2010 with quarterly data, following a Dynamic Ordinary Least Squares (DOLS) approach. The productive factors employed for this assessment are capital and labor, as well as human capital, which replace the latter in the adjusted equation by education level of the population. From this, it calculates productfactor elasticities that are used for the growth accounting measurement. This assessment concludes that Costa Rican economy is labor intensive, because it has an elasticity product-labor of 0.56. This value increases to 0.58 for the corrected equation which considers human capital. Finally, it estimates that the annual average growth rate of the real gross domestic product is 4.4%.
- Expectativas de inflación en Costa RicaThe Banco Central de Costa Rica (BCCR) is currently transitioning to an Inflation Targeting (IT) regime. In such context, it is relevant for the monetary authority to characterize in the most complete way possible the inflation expectations of the population, both in the particular elements of the forecasts and in the processes by which agents take information into account for their individual predictions. This paper documents the analysis of the inflation expectations data contained in the Monthly Survey of Inflation and Exchange Rate Expectations. We test several hypotheses such as rational and adaptive expectations. The results show significant biases in those expectations, while there is also a lack of learning from past errors by the agents surveyed.
- Indices de credibilidad del Banco Central de Costa Rica en la transición a Metas InflaciónThis paper computes six indexes that measure the monetary policy credibility of the Banco Central de Costa Rica, in its current transition to Inflation Targeting. The indexes, developed by Cecchetti and Krause (2002), Mendonça (2004), Sicsú (2005), Nahon and Meurer (2009), and a new one proposed in this paper, were calculated using the Monthly Survey of Inflation and Exchange Rate Expectations. All indexes show similar patterns over the sample, and the same happens when indexes for each of the strata of the sample are computed. The results show three periods where credibility has increased, with subsequent falls. The international and domestic conditions in which these movements happened are described in the paper. There is evidence that the monetary policy rate changes precede movements of the credibility indexes and not the other way around. There is also evidence of simultaneity of the inflation series with respect to the credibility indexes. The last data points show a stagnation of credibility as measured by the indexes.
- Riesgo moral asociado al uso de endeudamiento externo de corto plazo por parte del sector financieroThis paper addresses the issue of moral hazard associated with the use of short-term foreign borrowing by the financial intermediaries in Costa Rica. This situation arises from the implicit insurance that the authorities confer; given the expectation that banks have about central bank incentives to intervene to prevent the fail of any systemically important financial institution (SIFI). Using a simple mathematical-economic model, this paper analyzes several factors involved in this phenomenon and suggests policy measures that could provide a solution to the problem.
- El traspaso de cambios en la tasa de interés de política monetaria hacia las tasas de interés del sistema financiero costarricenseThe economic literature recognizes the interest rate as a major transmission channel of monetary policy, this mechanism starts to operate when the central bank changes its monetary policy rate (MPR) and affects the interbank interest rate, which generates movements of the medium and long term interest rates. This paper explores this phenomenon for the Costa Rican economy considering information for the period January 2000 to November 2010 as this period allows us to compare before and after the adoption of the crawling band system. It follows a cointegration approach proposed by Engle-Granger (1987), from which it is feasible to test the following hypotheses: i) the transmission of the policy rate to other rates of the system is complete ii) the modification of the exchange rate regime in October 2006 generated a variation in the transmission coefficient of the policy rate to other rates of the system, iii) the speed of the transmission of the movements in the monetary policy rate to the rest of Costa Rican financial system rates was modified after the adoption of the currency band system, and iv) there is asymmetry in the pass-through of the MPR to the rest of the financial system rates. It is noted that the average lending interest rates has a greater long-term transfer coefficient compared to those of the deposit rates, however, the hypothesis of unitary transmission is rejected by a Wald test. Likewise, the speed of the transmission of movements of the MPR to other rates is higher in lending rates compared to passive ones. Following the adoption of the band scheme in October 2006, the rate of transfer of innovations in the monetary policy to the rest of Costa Rican financial system rates increased, which supports the hypothesis of nonlinearity in this effect over the entire sample. Even for the second subsample, after the policy change, only the average deposit rate does not exhibit a complete transmission. The speed with which the movements of the MPR are transferred to other rates also increased from this variation. On the other hand, we cannot reject the hypothesis of no asymmetry in the effects generated by the movements of the MPR to the rest of rates, considering that in the short term, the system rates react similarly to increases and decreases in MPR. Finally, we fit an equation which makes explicit the transfer of the movements of the MPR to the basic borrowing rate by the Generalized Method of Moments (GMM).