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Impactos de la política monetaria y canales de transmisión en países de América Latina con esquema de inflación objetivo 采用客观通货膨胀方案的拉丁美洲国家的货币政策影响和传导渠道
Ensayos Sobre Politica Economica Pub Date : 2015-04-01 DOI: 10.1016/j.espe.2015.02.001
Jorge David Quintero Otero
{"title":"Impactos de la política monetaria y canales de transmisión en países de América Latina con esquema de inflación objetivo","authors":"Jorge David Quintero Otero","doi":"10.1016/j.espe.2015.02.001","DOIUrl":"https://doi.org/10.1016/j.espe.2015.02.001","url":null,"abstract":"<div><p>The purpose of this study is to compare the effect of monetary policy on economic activity in the five longest-operating Latin American countries operating the inflation targeting scheme (Chile, Brazil, Colombia, Peru and Mexico). A structural VAR model is estimated for each country using similar variables, finding that the impacts are significantly higher in Mexico and Peru. This paper also seeks to identify the best transmission channels operating in each country. This is carried out by estimating other structural VAR models in each country, but expanded with variables that should be the link between monetary policy decisions and changes in economic activity. The results show a greater relative importance in all countries for the interest rate channel. The exchange rate channel is shown to be important in Mexico, and the channels associated with the vision of credit are relevant only in Peru.</p></div>","PeriodicalId":39184,"journal":{"name":"Ensayos Sobre Politica Economica","volume":"33 76","pages":"Pages 61-75"},"PeriodicalIF":0.0,"publicationDate":"2015-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.espe.2015.02.001","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136974206","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 9
El papel de la estructura del sistema financiero en la transmisión de la política monetaria 金融体系结构在货币政策传导中的作用
Ensayos Sobre Politica Economica Pub Date : 2015-04-01 DOI: 10.1016/j.espe.2014.12.003
Javier Gutiérrez Rueda , Andrés Murcia Pabón
{"title":"El papel de la estructura del sistema financiero en la transmisión de la política monetaria","authors":"Javier Gutiérrez Rueda ,&nbsp;Andrés Murcia Pabón","doi":"10.1016/j.espe.2014.12.003","DOIUrl":"https://doi.org/10.1016/j.espe.2014.12.003","url":null,"abstract":"<div><p>Credit channel efficiency is of high importance for monetary policy pass-through. Literature has shown that certain market structure characteristics have a negative effect on policy transmission. In this paper we aim to measure credit interest rate rigidities as a measure of monetary policy transmission, as well as to identify the effect that market structure has on policy pass-through. The results suggest that policy transmission is incomplete in the short run; while in the long run interest rates fully adjust to changes in the intervention rate. Also, we find that market power increases interest rate rigidities and that the largest and more leveraged banks transfer changes in the intervention rate in a less degree.</p></div>","PeriodicalId":39184,"journal":{"name":"Ensayos Sobre Politica Economica","volume":"33 76","pages":"Pages 44-52"},"PeriodicalIF":0.0,"publicationDate":"2015-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.espe.2014.12.003","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136974210","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Banking fragility in Colombia: An empirical analysis based on balance sheets 哥伦比亚银行业脆弱性:基于资产负债表的实证分析
Ensayos Sobre Politica Economica Pub Date : 2014-12-01 DOI: 10.1016/j.espe.2014.10.001
Ignacio Lozano, Alexander Guarín
{"title":"Banking fragility in Colombia: An empirical analysis based on balance sheets","authors":"Ignacio Lozano,&nbsp;Alexander Guarín","doi":"10.1016/j.espe.2014.10.001","DOIUrl":"https://doi.org/10.1016/j.espe.2014.10.001","url":null,"abstract":"<div><p>In this paper, we study the empirical relationship between credit funding sources and the financial vulnerability of the Colombian banking system. We propose a statistical model to measure and predict banking fragility episodes associated with credit funding sources classified into retail deposits and wholesale funds. We compute the probability of financial fragility for both the aggregated banking system and the individual banks. Our approach performs a Bayesian averaging of estimated logit regression models with monthly balance sheet data between 1996 and 2013. The results show the increasing use of wholesale funding to support credit expansion is a potential source of financial fragility. Therefore, monitoring credit funding sources could provide an additional tool to warn against banking disruptions.</p></div>","PeriodicalId":39184,"journal":{"name":"Ensayos Sobre Politica Economica","volume":"32 75","pages":"Pages 48-63"},"PeriodicalIF":0.0,"publicationDate":"2014-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.espe.2014.10.001","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136991315","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Las entidades financieras a lo largo del ciclo de negocios: ¿está el ciclo financiero sincronizado con el ciclo de negocios? 整个商业周期中的金融机构:金融周期是否与商业周期同步?
Ensayos Sobre Politica Economica Pub Date : 2014-12-01 DOI: 10.1016/j.espe.2014.09.001
Fernando Arias Rodríguez , Celina Gaitán Maldonado , Johanna López Velandia
{"title":"Las entidades financieras a lo largo del ciclo de negocios: ¿está el ciclo financiero sincronizado con el ciclo de negocios?","authors":"Fernando Arias Rodríguez ,&nbsp;Celina Gaitán Maldonado ,&nbsp;Johanna López Velandia","doi":"10.1016/j.espe.2014.09.001","DOIUrl":"https://doi.org/10.1016/j.espe.2014.09.001","url":null,"abstract":"<div><p>Using the financial statements of Banks and related institutions, a proposal is made for a financial cycle chronology for Colombia from 1990 until the middle of 2013. Its interaction with the business cycle proposed by Alfonso, Arango, Arias, Cangrejo y Pulido (2012) is also examined. Two approaches are used here: One rule-based (Bry and Boschan, 1971, and Diffusion Indexes) and one based on information extracted from the data (Novelty Detection). Evidence is found to support the existence of synchronization between the financial and business cycle, although the chronologies and related features of each cycle rely on the definition and the approach adopted.</p></div>","PeriodicalId":39184,"journal":{"name":"Ensayos Sobre Politica Economica","volume":"32 75","pages":"Pages 28-40"},"PeriodicalIF":0.0,"publicationDate":"2014-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.espe.2014.09.001","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136991311","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Índice de títulos 2014 2014年标题索引
Ensayos Sobre Politica Economica Pub Date : 2014-12-01 DOI: 10.1016/j.espe.2014.12.001
{"title":"Índice de títulos 2014","authors":"","doi":"10.1016/j.espe.2014.12.001","DOIUrl":"https://doi.org/10.1016/j.espe.2014.12.001","url":null,"abstract":"","PeriodicalId":39184,"journal":{"name":"Ensayos Sobre Politica Economica","volume":"32 75","pages":"Pages 64-67"},"PeriodicalIF":0.0,"publicationDate":"2014-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.espe.2014.12.001","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136991314","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Efectos de «ángeles caídos» en el mercado accionario colombiano: estudio de eventos del caso Interbolsa “堕落天使”对哥伦比亚股票市场的影响:Interbolsa案例事件研究
Ensayos Sobre Politica Economica Pub Date : 2014-12-01 DOI: 10.1016/j.espe.2014.07.001
José E. Gómez-González , Luis Fernando Melo Velandia
{"title":"Efectos de «ángeles caídos» en el mercado accionario colombiano: estudio de eventos del caso Interbolsa","authors":"José E. Gómez-González ,&nbsp;Luis Fernando Melo Velandia","doi":"10.1016/j.espe.2014.07.001","DOIUrl":"https://doi.org/10.1016/j.espe.2014.07.001","url":null,"abstract":"<div><p>In this paper we perform an events study to examine the effects of the announcement of liquidity problems and takeover by the Financial Superintendence of Colombia brokerage firm brokerage Interbolsa SA in November 2012 on the performance of the shares traded on the Stock Exchange Colombia. We use daily data and different time windows for the event, and estimate returns using three alternative models (CAPM, CAPM risk free rate and three-factor model) in which we model the conditional variance using a model EGARCH (1,1). Overall, we found that the event significantly affect the performance of the firms listed on the Stock Exchange on all models and for all time windows used.</p></div>","PeriodicalId":39184,"journal":{"name":"Ensayos Sobre Politica Economica","volume":"32 75","pages":"Pages 23-27"},"PeriodicalIF":0.0,"publicationDate":"2014-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.espe.2014.07.001","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136991313","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Changes in GDP's measurement error volatility and response of the monetary policy rate: Two approaches GDP计量误差波动与货币政策利率响应的变化:两种方法
Ensayos Sobre Politica Economica Pub Date : 2014-12-01 DOI: 10.1016/j.espe.2014.08.002
Julian A. Parra-Polania, Carmiña O. Vargas
{"title":"Changes in GDP's measurement error volatility and response of the monetary policy rate: Two approaches","authors":"Julian A. Parra-Polania,&nbsp;Carmiña O. Vargas","doi":"10.1016/j.espe.2014.08.002","DOIUrl":"https://doi.org/10.1016/j.espe.2014.08.002","url":null,"abstract":"<div><p>Using a stylized model in which output is measured with error, we derive the optimal policy response to the demand shock signal and to changes in the measurement error volatility from two different perspectives: the minimization of the expected loss (from which we derive the ‘standard’ policy) and the minimization of the maximum possible loss across all potential scenarios (from which we derive the ‘prudent’ or ‘robust’ policy). We find that (1) the prudent policymaker reacts more aggressively to the shock signal than the standard one and (2) while the standard policymaker always mitigates her reaction if the measurement error volatility rises, the prudent one may even increase her response if her risk aversion is very high. When we incorporate forward-looking expectations, the second result is preserved but, in this case, the prudent policymaker is less aggressive than the standard one in responding to the shock signal.</p></div>","PeriodicalId":39184,"journal":{"name":"Ensayos Sobre Politica Economica","volume":"32 75","pages":"Pages 41-47"},"PeriodicalIF":0.0,"publicationDate":"2014-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.espe.2014.08.002","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136991316","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Relación entre el riesgo sistémico del sistema financiero y el sector real: un enfoque FAVAR 金融系统的系统性风险与实体部门的关系:一种FAVAR方法
Ensayos Sobre Politica Economica Pub Date : 2014-12-01 DOI: 10.1016/j.espe.2014.08.001
Wilmar Alexander Cabrera Rodríguez, Luis Fernando Melo Velandia, Daniel Parra Amado
{"title":"Relación entre el riesgo sistémico del sistema financiero y el sector real: un enfoque FAVAR","authors":"Wilmar Alexander Cabrera Rodríguez,&nbsp;Luis Fernando Melo Velandia,&nbsp;Daniel Parra Amado","doi":"10.1016/j.espe.2014.08.001","DOIUrl":"https://doi.org/10.1016/j.espe.2014.08.001","url":null,"abstract":"<div><p>This paper estimates the effects of financial and real shocks on 111 variables of the Colombian economy for the sample period 2003-2013. An extension of the FAVAR model proposed by Bernanke, Boivin, &amp; Eliasz (2005) is used; in this case the series are explained by both, a common component and an idiosyncratic component. Two exercises were performed: (i)<!--> <!-->impulse responses analysis for both, shocks in the real factor and shocks in the financial factor, and (ii)<!--> <!-->analysis of a stress event impact on the financial sector over the real sector and vice versa. For the latter, an alternative measure of CoVaR is proposed, this measure is called CoFaR. The results suggest that the close links between the two sectors propagate the shocks in both directions. In particular, the financial sector reacts quicker to a shock on real activity than the effect of a financial shock over real sector.</p></div>","PeriodicalId":39184,"journal":{"name":"Ensayos Sobre Politica Economica","volume":"32 75","pages":"Pages 1-22"},"PeriodicalIF":0.0,"publicationDate":"2014-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.espe.2014.08.001","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136991312","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
El dinero y la liquidez 货币与流动性
Ensayos Sobre Politica Economica Pub Date : 2014-06-01 DOI: 10.1016/S0120-4483(14)70026-0
Posada P. Carlos Esteban
{"title":"El dinero y la liquidez","authors":"Posada P. Carlos Esteban","doi":"10.1016/S0120-4483(14)70026-0","DOIUrl":"10.1016/S0120-4483(14)70026-0","url":null,"abstract":"<div><p>Money and liquidity are not synonymous. They have reciprocal relations but, on several occasions, it is important to distinguish between the two concepts. A brief review of the theories of the demand for money, as is done in this document, serves to identify those circumstances. The review ends with Keynes's theory. Keynes's contribution to monetary theory is significant. Stands out, in particular, his thesis concerning a dominance of the preference for liquidity in the demand for money if bearish expectations are prevailing with respect to the debt securities prices. Such expectations “inflate” (and distort the function of) the demand for money.</p></div>","PeriodicalId":39184,"journal":{"name":"Ensayos Sobre Politica Economica","volume":"32 74","pages":"Pages 36-51"},"PeriodicalIF":0.0,"publicationDate":"2014-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/S0120-4483(14)70026-0","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"56360170","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
The Balassa-Samuelson Hypothesis and Elderly Migration Balassa-Samuelson假说与老年移民
Ensayos Sobre Politica Economica Pub Date : 2014-06-01 DOI: 10.1016/S0120-4483(14)70023-5
Oscar Iván Ávila Montealegre , Mauricio Rodríguez Acosta , Hernando Zuleta González
{"title":"The Balassa-Samuelson Hypothesis and Elderly Migration","authors":"Oscar Iván Ávila Montealegre ,&nbsp;Mauricio Rodríguez Acosta ,&nbsp;Hernando Zuleta González","doi":"10.1016/S0120-4483(14)70023-5","DOIUrl":"10.1016/S0120-4483(14)70023-5","url":null,"abstract":"<div><p>We present a model with two Overlapping Generations (young and old) and two final goods: <em>a)</em> a tradable good that is produced using capital and labor, and <em>b)</em> a non-tradable good that is produced using labor as unique input. We maintain the fundamental assumption of perfect factor mobility between sectors so the model is consistent with the Balassa-Samuelson hypothesis. On top of this, we allow for one of the two generations (the elderly) to migrate between economies. Given the general equilibrium structure of our model, we can examine the effect of the propensity to save on migration and the relative price of the non-tradable good. In this setting, we find that the elderly have incentives to migrate from economies where productivity is high to economies with low productivity because of the lower cost of living (in more general terms, the elderly migrate from wealthy countries to countries with lower incomes). We also find that, for countries with lower incomes, elderly migration has a positive effect on wages and capital accumulation.</p></div>","PeriodicalId":39184,"journal":{"name":"Ensayos Sobre Politica Economica","volume":"32 74","pages":"Pages 1-8"},"PeriodicalIF":0.0,"publicationDate":"2014-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/S0120-4483(14)70023-5","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"56360061","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
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