Browsing by Author "Segura-Rodriguez, Carlos"
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- Crecimiento en riesgo en Costa Rica: una perspectiva desde una economía pequeña y abiertaEste trabajo presenta una nueva estimación de un Índice de Condiciones Financieras (ICF) y, con base en Adrian, Boyarchenko y Giannone (2019), el primer análisis de crecimiento en riesgo (Growth-at-Risk) para la economía costarricense. El ICF se construye con la metodología de factores dinámicos a partir de 1996. Se utiliza la propuesta de Stock y Watson (2002) para incluir variables para las que se tiene información para años posteriores. El ICF replica de manera apropiada los episodios recientes de condiciones financieras restrictivas y laxas. En el análisis de crecimiento en riesgo, se incluyó el impacto de los términos de intercambio para captar riesgos internacionales relevantes para una economía pequeña y abierta como Costa Rica. Los resultados indican que, a un trimestre y a cuatro trimestres, tanto las condiciones financieras restrictivas como la mejora en los términos de intercambio tienen un efecto negativo y estadísticamente significativo para el percentil 5, pero no para los demás percentiles ni en el nivel promedio. Esto subraya la importancia de evaluar cómo las condiciones financieras y los términos de intercambio influyen en los riesgos para el crecimiento económico futuro.
- Una curva de rendimiento par soberana en dólares: el uso de un enfoque dinámicoWe estimate a weekly government debt in US dollars par yield curve for Costa Rica. To choose the estimation method, we analyze three parametric techniques: Nelson and Siegel’s method, Svensson’s method and a dynamic approach developed by Diebold et al.We use all Costa Rican sovereign debt in US dollars transactions in the primary and secondary market.We concentrate in transactions of fixed rate and zero-coupon bonds for the period between January 2009 and November 2021. The evaluation of the results from the three methods allow us to conclude that the dynamic approach shows a better balance between in-sample fit and out-of-sample forecast than the static methods. The main reason is that the static methods suffer of an over-fitting problem for those weeks with a small number of observations: they fit well the observed sample, but sometimes present atypical behavior for the curve sections in which there is not available information. The dynamic method fixes this problem by using past information to estimate an expected yield curve for any week, and then only use the new weekly information to adjust the estimation in those points in which the expected yield curve is far from those observed points. Therefore, we recommend using this dynamic method for estimating this yield curve.
- Determinantes del margen de intermediación financiera en Costa RicaThis paper examines which factors determine the financial intermediation margin for Costa Rican banks for the period 1994-2011. This work pays special attention to which of these factors can be influenced by the Central Bank of Costa Rica through its monetary policy. Among the most important results from the estimations it is established that the intermediation margin tends in the short term to have an inertial tendency to increase. There is market power and it is used to transfer costs to consumers, for example, changes in the legal reserve requirements lead to increases in the intermediation margins, the same effect is observed when there are increases in the cost of foreign credit lines lead.
- Determinants of interest rate spread in Costa RicaThis paper examines which factors determine the financial intermediation margin for Costa Rican banks for the period 1994-2011. This work pays special attention to which of these factors can be influenced by the Central Bank of Costa Rica through its monetary policy. Among the most important results from the estimations it is established that the intermediation margin tends in the short term to have an inertial tendency to increase. There is market power and it is used to transfer costs to consumers, for example, changes in the legal reserve requirements lead to increases in the intermediation margins, the same effect is observed when there are increases in the cost of foreign credit lines lead.
- Diseño de un índice de volumen de producción internacional relevante para Costa RicaIn this paper an indicator of international production volume relevant for Costa Rican economy is elaborated. In this way the Research Department of Central Bank of Costa Rica could have a new proxy variable, for trend and variability of the international GDP, that contributes to explain the behavior of local exports and GDP. They are created three indicators based in the commercial relations that Costa Rica have. The first considers to weight by exports, a second one by imports and lastly by total international trade. After having realized different statistic tests, it is found that the indicator that better explains the Costa Rican economic performance is the indicator when the total international trade is used to weight.
- 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.
- Estabilidad de las expectativas de inflaciónThis article studies whether the average inflation expectation from the Central Bank of Costa Rica (BCCR by its initials in Spanish) Encuesta de expectativas de inflación y tipo de cambio are stable. By stability we refer to the fact that these short-term expectations’ behavior is unrelated to the inflation´s behavior, and that the dispersion of the respondents’ report is small. We use a broad range of techniques that have been developed in the literature to study this phenomenon. We obtain as main conclusion that inflation expectations are not yet stable, though they have become more stable during the last years. However, the expectations’ stability seems to be a result of the respondents preferring a simple forecast method to form their expectations as using the inflation target as their forecast, rather than a stronger trust of the agents in the BCCR.
- Estimación del parámetro de suavizamiento del filtro de Hodrick y Prescott para Costa RicaNowadays, it is very common to use the method proposed by Hodrick and Prescott (1980) to split a time series in a trend and a cyclical component. Its use concentrates primarily on the fluctuation analysis of the economic cycles, which were defined by Lucas (1977) as deviations of the real product from a trend. In this context, the HP filter is very useful for the estimation of the potential product as the trend component of the observed product. This paper aims at amplifying the information used in the previous work by Esquivel and Rojas (2007), analyzing an alternative methodology proposed by Marcet and Ravn (2003) and comparing its results with the formerly used methodology.
- Estimation of Optimal International Reserves for Costa Rica: A Micro-Founded Approach (EN)In this paper we apply to the economy of Costa Rica a model for the estimation of the optimal amount of international reserves, developed by Jeanne and Rancière (2006, 2011). The main assumption of the model is that the consumers have the possibility to save a part of their income during normal times to smooth the decrease of consumption possibilities during periods of sudden stop crises. The two most important results are that for all analyzed periods the optimal level of reserves lies above the observed one and that the estimations of optimal reserves show relatively little volatility over time. Accordingly, the core conclusion of the document is that the Central Bank of Costa Rica should increase its efforts to accumulate international reserves in the medium run.
- Estimation of the Hodrick and Prescott Filter Smoothening Parameter for Costa RicaNowadays, it is very common to use the method proposed by Hodrick and Prescott (1980) to split a time series in a trend and a cyclical component. Its use concentrates primarily on the fluctuation analysis of the economic cycles, which were defined by Lucas (1977) as deviations of the real product from a trend. In this context, the HP filter is very useful for the estimation of the potential product as the trend component of the observed product. This paper aims at amplifying the information used in the previous work by Esquivel and Rojas (2007), analyzing an alternative methodology proposed by Marcet and Ravn (2003) and comparing its results with the formerly used methodology.
- JIEExpectativas de inflación en el mercado de deuda soberana costarricense: ¿están ancladas?El Banco Central requiere mediciones que le permitan evaluar su credibilidad. Una de las medidas más relevantes corresponde a la expectativa de inflación de los agentes económicos. Este estudio utiliza un modelo lineal de las tasas de interés de las transacciones de bonos de deuda emitidos por el Ministerio de Hacienda y el Banco Central, y que permite extraer una medida alternativa y complementaria de expectativas de inflación. Se muestra que estas mediciones alternativas pronostican mejor la inflación que las expectativas recopiladas mediante la Encuesta de Expectativas del Banco Central de Costa Rica (BCCR). Adicionalmente, la metodología propuesta se extiende para obtener y evaluar expectativas de variación del tipo de cambio a diferentes horizontes. Finalmente, se presenta evidencia de que durante los años más recientes las expectativas de inflación de largo plazo (a 5 años) se encuentran ancladas, es decir, las expectativas no reaccionan ante cambios en las condiciones coyunturales. Sin embargo, el valor de anclaje se encuentra ligeramente por debajo del valor central del rango meta anunciado por el BCCR.
- Expectativas de inflación en el mercado de deuda soberana costarricense: ¿están ancladas?This article uses government and central bank’s debt transactions to extract a measure of inflation and exchange rate variation expectations for Costa Rica. For this purpose we utilize a linear model of interest rates that extends the methodology proposed by Gimeno y Marqués (2012). I show that the implicit expectations from the model provide better forecasts of inflation and exchange rate than the ones collected through the survey implemented by the Central Bank of Costa Rica (BCCR). I find strong evidence that during the most recent years the long run implicit inflation expectations have been anchored to a value below the target announced by the BCCR.
- JIEFormación heterogénea y persistente de expectativas de inflaciónSe estudia el proceso de formación de expectativas de inflación por parte de los informantes de la Encuesta mensual de expectativas de inflación y tipo de cambio implementada por el Banco Central de Costa Rica (BCCR). Siguiendo a Branch (2004), se supone que los agentes deciden entre diferentes métodos de pronóstico (racional, adaptativo, informar como expectativa la última inflación observada o informar como expectativa la meta de inflación del BCCR) con base en el error de pronóstico que han presentado en el pasado reciente. Se utiliza un modelo Probit para estimar las funciones de utilidad de los agentes y el porcentaje de informantes que utiliza cada uno de los métodos. Debido a que la encuesta del BCCR consiste de un panel, la estimación se ajusta para incorporar la dependencia temporal que podría existir en la respuesta de un mismo informante. El principal resultado es que los agentes tienden a utilizar métodos que requieren de poca información en detrimento de métodos más elaborados como el adaptativo o el racional. Por tanto, no se recomienda el uso de dicho indicador para implementar metodologías en las que se supone que las expectativas de los agentes son racionales. Además, se presenta evidencia de que los cambios que se han implementado en la metodología que se utiliza para seleccionar la muestra de informantes han influido en el valor de la expectativa de inflación. En consecuencia, los analistas deben proceder con prudencia al emplear dicho indicador para realizar comparaciones intertemporales.
- Formación heterogénea y persistente de las expectativas de inflaciónI analyze which forecast method (rational, adaptative, last inflation or the BCCR’s inflation target) is used by the informants of the Encuesta mensual de expectativas de inflación y tipo de cambio of the Central Bank of Costa Rica to form their inflation expectation. Following Branch (2004) I assume that the agents decide between different methods based on thir forecast error. A logit model is used to estimate the probabilities that the agents assign to each method. Since the agents respond to the survey multiple times, I correct the estimation to incorporate the temporal dependence in the informants’ answers. The main result is that most of the informants use methods that require little information instead of forming rational expectations. Further, I present evidence that changes in the sample selection procedure have had important implications in the survey-based expectations. Therefore, it is not recommended to use them when it is required a rational expectations indicator or to make intertemporal comparisons.
- Impact of COVID-19 Restrictions in Costa Rica: a Local ApproachDurante la pandemia de COVID-19, los gobiernos implementaron medidas para restringir la movilidad de las personas, esto con el objetivo de reducir el número de infecciones y muertes causadas por la enfermedad. Sin embargo, estas medidas también perjudicaron la actividad económica. Para aproximar el efecto que estas restricciones tuvieron sobre la actividad económica y la salud de la población, este estudio utiliza los cambios en las restricciones que implementó el gobierno de Costa Rica por municipio (cantón). Se recopilaron datos sobre las alertas y restricciones sanitarias anunciadas por el gobierno del 15 de marzo de 2020 al 31 de julio de 2021, y se utilizó el consumo de electricidad para aproximar la actividad económica. Los resultados de las estimaciones muestran que imponer una alerta sanitaria más restrictiva redujo la tasa de crecimiento semanal de casos de COVID-19 en un 7 % y las muertes en un 10 %; sin embargo, también redujo el consumo eléctrico comercial en un 1,5 %, lo que se puede asociar con una disminución en el nivel de la actividad económica de alrededor 1,88 %.
- JIEImpacto de las restricciones impuestas para controlar los contagios por COVID-19 en Costa Rica: Un enfoque cantonalLas medidas de restricción implementadas por el Gobierno para reducir el contacto físico entre personas con el objetivo de reducir el número de contagios y muertes provocadas por la COVID-19, han tenido un efecto negativo sobre la actividad económica y el empleo. Este estudio se enfoca en medir los efectos de esas restricciones sobre la actividad económica, el número de contagios y de muertes por COVID-19 por cantón. Para medir las restricciones se utilizan datos de alertas sanitarias y las restricciones a la circulación de vehículos y apertura de comercios ligadas a cada alerta desde el 15 de marzo del 2020 hasta el 30 de junio del 2021. Se estiman costos y beneficios que estas han generado tanto en términos sanitarios como económicos.
- Implementación de la curva soberana estimada por el BCCR en las pruebas de tensión de instrumentos de renta fijaThis technical note describes the procedure currently used by the Central Bank of Costa Rica (BCCR, by its initials in Spanish) to conduct stress tests on the portfolios of financial entities. The analysis identified two opportunities for improvement compared to the current practice; a procedure that was implemented as part of a technical assistance provided by the IMF. First, the stress tests are calculated based on the estimation of the PAR yield curves in colones and dollars carried out by the BCCR, which better reflect the behavior of the Costa Rican market. Secondly, resampling methods are used to determine the loss distribution based on available data, rather than using only predefined shocks, which facilitates the comparison of the predefined shocks currently used with the actual observed events. In conclusion, it is recommended to implement these two improvements in the execution of the stress tests.
- Inflación internacional relevante para Costa RicaThis document analyzes different measures of international inflation and their influence on the domestic inflation. We found that these measurements have a statistical significant effect on the behavior of domestic inflation. Therefore the evolution of the international inflation must be considered when assessing the inflation target stated by monetary authority. The international inflation calculated using the weight of exports to different markets is the most relevant international inflation both in levels and in differences for the case of Costa Rica. Another element that the Central Bank should take into account when setting its inflation target is the fact that for the period 2001-2010 the different relevant measures of international inflation for Costa Rica lie in the range of 3% and 4%.
- JIELa tasa de interés real neutral en una economía abierta y pequeña: el caso de Costa RicaEn este estudio se actualiza la estimación de la tasa de interés real natural (TIRN) para Costa Rica para el periodo entre 2010 y 2022. Se utilizan dos metodologías de estimación: el modelo semi-estructural de Laubach y Williams (2003) y un VAR estructural propuesto por Brzoza-Brzezina (2002). El aporte metodológico de este estudio es utilizar una extensión del modelo de Laubach y Williams (2003) que es más apropiado para una economía pequeña y abierta. La estimación de la TIRN resulta en un valor cercano a 1% para el periodo entre 2010 y 2019, y que se incrementó a aproximadamente 1,5% después del segundo semestre de 2020. Además, se verifica que la brecha de la tasa de interés muestra el signo teórico que se espera de relación con otras variables económicas como la brecha del producto, la inflación observada y la brecha del tipo de cambio. Finalmente, la estimación permite concluir que la política monetaria que ha implementado el Banco Central es coherente con el objetivo de acercar la inflación a la meta que se ha fijado.
- Memoria de seminario: Meta de inflación, teoría y evidencia empíricaThis essay summarizes the main ideas of the panelists who participated in the seminar "Inflation Targeting, Theory, and Empirical Evidence." This seminar was organized by the Central Bank of Costa Rica to create spaces for discussing the current relevance of the inflation targeting regime and to facilitate learning from the experiences of multiple countries in adopting this regime. The presenters emphasized that the inflation targeting regime has been successful, but monetary policy continuously faces new challenges that must be addressed.