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Browsing Documentos de Trabajo by Subject "C2- Métodos econométricos: modelos uniecuacionales; variables simples"
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- 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.
- Un enfoque monetario de los efectos sobre precios y tasas de interés del tipo de cambio fijoThe purpose of this document is to discuss, from the monetary point of view, the long run effects of a fixed exchange rate regime on prices and interest rates.We develop a partial equilibrium model for the monetary sector of a small open economy in which we link fixed exchange rate to the process of money creation and inflation.Using this model, we compare two monetary policy scenarios. The first one assumes that the central bank is active and by open market operations tries to keep inflation under control; the other assumes that the central bank is passive and does not sterilize the foreign capital inflows. Those two scenarios allow us to reach at some analytical results about the long-term effects of the pegged exchange rate regime on the inflation rate.Next, we “parameterize” the model using the Costa Rican data and perform a simulation exercise. As a result, we get some numerical magnitudes of the costs of keeping the exchange rate fixed long time, expressed in terms of inflation and interest rates prevailing in the economy.Based on the simulation exercise, the model asserts that after 10 years of keeping the exchange rate pegged, the capacity of the monetary policy to achieve inflation rates below five percent has been eroded. Therefore, for the monetary policy to regain its active role, that is to be able to curb inflation, it is necessary that the exchange rate regime does not generate monetary disequilibria.
- Un modelo para estimar el nivel óptimo de reservas monetarias internacionales para Costa RicaAs part of the measures that the Central Bank of Costa Rica (CBCR) has taken in the transition to a inflation targeting regime, in October 2006 the adjustable peg exchange rate regime was replaced by a exchange rate band, as a transitional measure to adopt a managed float regime. To the extent that this process is consolidated, the explicit need for net international reserves (NIR) as a safeguard of the exchange regime is becoming smaller, however, it is required to have an estimation of the optimal level, among other reasons, to support CBCR intervention decisions in the foreign exchange market, if required. This paper proposes a model for the optimal level of foreign currency reserves for the CBCR from which this variable is estimated for the period 2006-2009. It uses the theoretical approach developed by Ben-Bassat and Gottlieb (1992), which assumes that a central bank seeks to minimize the expected cost of holding reserves. The definition of this cost takes into account two factors, firstly, there is an opportunity cost associated to maintaining foreign currency reserves. On the other hand, these assets act as insurance in crisis situations, enabling the economy to minimize the real and social costs of macroeconomic adjustment associated.