Credit spreads and monetary policy in a small open economy: an analysis of the colombian economy
| Contribuinte(s) |
Bejarano, Jesus |
|---|---|
| Data(s) |
14/06/2016
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| Resumo |
This paper estimates Bejarano and Charry (2014)’s small open economy with financial frictions model for the Colombian economy using Bayesian estimation techniques. Additionally, I compute the welfare gains of implementing an optimal response to credit spreads into an augmented Taylor rule. The main result is that a reaction to credit spreads does not imply significant welfare gains unless the economic disturbances increases its volatility, like the disruption implied by a financial crisis. Otherwise its impact over the macroeconomic variables is null. Universidad del Rosario This paper estimates Bejarano and Charry (2014)’s small open economy with financial frictions model for the Colombian economy using Bayesian estimation techniques. Additionally, I compute the welfare gains of implementing an optimal response to credit spreads into an augmented Taylor rule. The main result is that a reaction to credit spreads does not imply significant welfare gains unless the economic disturbances increases its volatility, like the disruption implied by a financial crisis. Otherwise its impact over the macroeconomic variables is null. |
| Formato |
application/pdf |
| Identificador | |
| Idioma(s) |
spa |
| Publicador |
Facultad de Economía |
| Direitos |
info:eu-repo/semantics/openAccess |
| Fonte |
instname:Universidad del Rosario reponame:Repositorio Institucional EdocUR Bejarano, Jesús., and Charry, Luisa , (2014), "Financial Frictions and Optimal Monetary Policy in a Small Open Economy", Borradores de Economia, 852. Belke, Ansgar., and Klose, Jens, (2010), "(How) Do the ECB and the Fed React to Financial Market Uncertainty? – The Taylor Rule in Times of Crisis", Ruhr Economic Papers , 0166. Castro, Vítor, (2011), "Can central banks’ monetary policy be described by a linear (augmented) Taylor rule or by a nonlinear rule?", Journal of Financial Stability, Elsevier, vol. 7(4), pages 228-246. Chari, V. V., Christiano, Lawrence J., and Kehoe, Patrick J., (2008), "Facts and myths about the financial crisis of 2008," Federal Reserve Bank of Minneapolis Working Papers 666 Cúrdia, Vasco., and Woodford, Michael , (2009), "Credit frictions and optimal monetary policy", BIS Working Papers , 278, Bank for International Settlements. Curdia, Vasco., and Woodford, Michael , (2010), "Credit Spreads and Monetary Policy", Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(s1), pages 3-35. Gertler, Mark., Gilchrist, Simon., and Natalucci, Fabio M., (2007) "External Constraints on Monetary Policy and the Financial Accelerator," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2-3), pages 295-330, 03. González, Andrés., López , Martha., Rodríguez, Norberto., and Téllez, Santiago , (2013), "Fiscal Policy in a Small Open Economy with Oil Sector and non-Ricardian Agents," Borradores de Economia , 759, Banco de la Republica de Colombia. Hamann, Franz., Pérez, Julián., and Rodríguez , Diego , (2006), "Bringing a DSGE model into policy environment in Colombia". Banco de la República. Huang, Yu-Fan, (2015), "Time variation in U.S. monetary policy and credit spreads", Journal of Macroeconomics,Elsevier, vol. 43(C), pages 205- 215. López, Martha., Prada ,Juan David., and Rodríguez, Norberto , (2009), "Evidence for a Financial Accelerator in a Small Open Economy,and Implications for Monetary Policy," Ensayos Sobre Política Económica, Banco de la República - ESPE, vol. 27(60), pages 12-45, December. Martin, Christopher.. and MILAS , Costas, (2013), " Financial crises and monetary policy: Evidence from the UK", Journal of Financial Stability ,9(4), 654–661. Mishkin, Frederic S, (2008), "Monetary policy flexibility, risk management, and financial disruptions : a speech at the Federal Reserve Bank of New York, New York", Speech 353, Board of Governors of the Federal Reserve System (U.S.). Prada , Juan David., Rojas ,Luis Eduardo (2009), "La elasticidad de Frisch y la transmisión de la política monetaria en Colombia," Borradores de Economia, 555, Banco de la Republica de Colombia. Pfeifer., Johannes, (2014) "A Guide to Specifying Observation Equations for the Estimation of DSGE Models" University of Mannheim Schmitt-Grohe, Stephanie., and Uribe, Martin, (2003), "Closing small open economy models," Journal of International Economics, Elsevier, vol. 61(1), pages 163-185, October. Schmitt-Grohe,Stephanie ., and Uribe, Martin , (2004a), "Optimal Operational Monetary Policy in the Christiano-Eichenbaum-Evans Model of the U.S. Business Cycle", NBER Working Papers ,10724, National Bureau of Economic Research, Inc. Schmitt-Grohe,Stephanie ., and Uribe, Martin , (2004b), "Solving dynamic general equilibrium models using a second-order approximation to the policy function", Journal of Economic Dynamics and Control, Elsevier, vol. 28(4), pages 755-775. Stock , James H,.and Watson, Mark W. ,(1999) "Forecasting Inflation," NBER Working Papers, 7023, National Bureau of Economic Research, Inc. Taylor, John B., (2008) , " “Monetary Policy and the State of the Economy: Testimony before the Committee on Financial Services" , U.S. House of Representatives, February 26, 2008. Teranishi, Yuki, (2012), " Credit spread and monetary policy", Economics Letters, Elsevier, vol. 114(1), pages 26-28. |
| Palavras-Chave | #Economía #Política monetaria #Apertura económica #Economía -- Colombia #330 #Optimal Monetary Policy #Credit Spreads #Bayesian Estimation #Colombia |
| Tipo |
info:eu-repo/semantics/masterThesis info:eu-repo/semantics/acceptedVersion |
