Efectos dinámicos y transmisión de la política monetaria en países de américa latina con esquema de inflación objetivo: un análisis SVAR para el periodo 2003-2018
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Rueda Sosa, Julian David
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El presente trabajo pretende analizar la forma como opera la política monetaria en los países de américa latina cuyo régimen de política monetaria funciona bajo un esquema de inflación objetivo: Brasil, Chile, Colombia, México y Perú. Para ello, se utiliza una metodología unificada que permita realizar comparaciones en la región, identificando diferencias y similitudes a partir de la aplicación de diferentes procedimientos matemáticos y econométricos. En este sentido, la investigación esta soportada en la metodología SVAR con restricciones de corto plazo impuestas por el modelo macroeconómico de comportamiento ????-???? para identificar las relaciones contemporáneas entre las variables endógenas del sistema que imponen las curvas de oferta agregada (????), política monetaria (????) y mercado monetario (????).
Para tal propósito, este trabajo analiza el canal tradicional de transmisión, estimando el efecto directo de la tasa de interés de política monetaria de los diferentes Bancos Centrales sobre el crecimiento económico (??) y la inflación (??). Los principales resultados indican que en el corto plazo existe una relación contemporánea negativa y significativa entre la cantidad de dinero y el nivel de precios. De igual forma, se encontró una relación positiva y significativa entre el crecimiento económico y la variación de la cantidad de dinero, así como, la existencia de una relación negativa y significativa entre tasa de intervención y cantidad de dinero.
Por su parte, el análisis dinámico vía impulso respuesta mostró que, choques positivos de la tasa de interés tienen efectos positivos y cíclicos sobre la inflación, así como, efectos fuertemente cíclicos sobre el crecimiento económico. Por último, a través de la descomposición de varianza se encontró que ante choques de política monetaria se presentan mayores efectos acumulados en el crecimiento económico que en la inflación.
This paper aims to analyze how monetary policy operates in Latin American countries whose monetary policy regime operates under an objective inflation scheme: Brazil, Chile, Colombia, Mexico and Peru. For this, a unified methodology is used that allows comparisons to be made in the region, identifying differences and similarities from the application of different mathematical and econometric procedures. In this sense, the research is supported by the SVAR methodology with short-term restrictions imposed by the ????-???? macroeconomic model of behavior to identify the contemporary relationships between the endogenous variables of the system imposed by the aggregate supply curves (????), policy monetary (????) and money market (????). For this purpose, this paper analyzes the traditional transmission channel, estimating the direct effect of the monetary policy interest rate of the different Central Banks on economic growth (??) and inflation (??). The results indicate that inflation is not a monetary phenomenon, at least in the short term, where a significant and negative contemporary relationship between the quantity of money and the price level was identified. Similarly, a positive and significant relationship was found between economic growth and the variation in the amount of money, as well as the existence of a negative and significant relationship between the intervention rate and the amount of money. Meanwhile, the dynamic analysis using impulse response showed that positive shocks to the interest rate have positive and cyclical effects on inflation, as well as strongly cyclical effects on economic growth. Finally, through the decomposition of variance, it was found that when faced with monetary policy shocks, there are greater cumulative effects on economic growth than on inflation.
This paper aims to analyze how monetary policy operates in Latin American countries whose monetary policy regime operates under an objective inflation scheme: Brazil, Chile, Colombia, Mexico and Peru. For this, a unified methodology is used that allows comparisons to be made in the region, identifying differences and similarities from the application of different mathematical and econometric procedures. In this sense, the research is supported by the SVAR methodology with short-term restrictions imposed by the ????-???? macroeconomic model of behavior to identify the contemporary relationships between the endogenous variables of the system imposed by the aggregate supply curves (????), policy monetary (????) and money market (????). For this purpose, this paper analyzes the traditional transmission channel, estimating the direct effect of the monetary policy interest rate of the different Central Banks on economic growth (??) and inflation (??). The results indicate that inflation is not a monetary phenomenon, at least in the short term, where a significant and negative contemporary relationship between the quantity of money and the price level was identified. Similarly, a positive and significant relationship was found between economic growth and the variation in the amount of money, as well as the existence of a negative and significant relationship between the intervention rate and the amount of money. Meanwhile, the dynamic analysis using impulse response showed that positive shocks to the interest rate have positive and cyclical effects on inflation, as well as strongly cyclical effects on economic growth. Finally, through the decomposition of variance, it was found that when faced with monetary policy shocks, there are greater cumulative effects on economic growth than on inflation.