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Money, Inflation and Interest
Rates in Latin America |
October, Thursday 27th |
16-18 hs |
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Contributed Session CS5 |
Room 32
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Chair: Marcelo Portugal, Universidade Federal do Rio Grande do Sul,
Brazil |
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Monetary Policy and Long-term Interest Rates in Chile |
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Presenter |
Mauricio Larraín, Banco Central de Chile |
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Author(s) |
Mauricio
Larraín,
Banco Central de Chile |
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This paper studies the short-run reaction of an emerging financial market to monetary policy actions. We estimate the immediate effects of monetary policy surprises on long-term inflation-linked interest rates in Chile. The results indicate that the monetary policy rate has a significant positive impact -though small in size- on market interest rates, with the largest effect on rates with shorter maturities.
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The Yield Curve and Macroeconomic Factors in the Chilean Economy |
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Presenter |
Marco Morales, Universidad Diego Portales, Chile |
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Author(s) |
Marco
Morales,
Universidad Diego Portales, Chile |
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This paper estimates a dynamic model for the yield curve incorporating latent and macro factors. The representation is based on the popular latent factor model of Nelson-Siegel under a dynamic interpretation. This state-space representation can be estimated by a Kalman Filter or by using a simplified two-step procedure. This paper follows the simplest method and makes a comparison with the Kalman Filter, concluding the intuition is not affected by the use of the simplified approach.
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An Estimated New Keynesian Phillips Curve for Chile |
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Presenter |
Claudio Soto, Banco Central de Chile |
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Author(s) |
Claudio
Soto,
Banco Central de Chile
Luis Cespedes, Banco Central de Chile
Marcelo Ochoa, Banco Central de Chile |
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This paper present GMM empirical estimations of the New Keynesian Phillips curve (NKPC) for Chile. Our results tend to support the NKPC. They show that the share of backward-looking firms lies in the range 0.3-0.5., similar to the estimated values for the U.S. The estimated Calvo coefficient lies in the range 0.8-0.9, indicating that prices remain unchanged on average for about 6 to 10 quarters. These figures are also consistent with the corresponding ones for the U.S.
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Monetary and Fiscal Policy Interactions in Brazil: An Application of the Fiscal Theory of the Price Level |
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Presenter |
Marcelo Portugal, Universidade Federal do Rio Grande do Sul, Brazil |
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Author(s) |
Marcelo
Portugal,
Universidade Federal do Rio Grande do Sul, Brazil
Marcelo Fialho, Universidade Federal do Rio Grande do Sul, Brazil |
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Sponsor |
The American University of Paris Scholarship |
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The aim of the present paper is to verify the predominance of a monetary or fiscal dominance regime in Brazil in the post-Real period. We present both VAR and Markov-switching VAR estimations, since the relationship between these policies may not be constant over time. The results show a predominantly monetary regime, in opposition to the non-Ricardian policies of the Fiscal Theory of The Price Level.
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Interest Rates, Inflation and the Level of Economic Activity in Brazil (1995-2003): Stylized Facts from SVAR Models |
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Presenter |
Alexis Maka, Instituto de Pesquisa Econômica Aplicada |
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Author(s) |
Alexis
Maka, Instituto de Pesquisa Econômica Aplicada
Elcyon Lima, Instituto de Pesquisa Econômica Aplicada, Brazil
Brisne J. V. Cespedes, Instituto de Pesquisa Econômica Aplicada,
Brazil |
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Sponsor |
The Tinker Foundation Scholarship |
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Using structural VAR models this article investigates the dynamic relationship of a group of Brazilian macro variables (price and industrial production indexes, nominal exchange rate, short and medium-run nominal interest rates) for the period after the last inflation stabilization plan (1995-2003). We use Directed Acyclic Graphs (DAGs) to obtain the contemporaneous causal order of the variables used to identify the SVAR models.
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Derivative Markets' Impact on Colombian Monetary Policy |
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Presenter |
Camilo Zea, Banco de la República, Colombia |
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Author(s) |
Camilo
Zea, Banco de la República,
Colombia
Diego Vasquez, Banco de la República, Colombia
Esteban Gómez , Banco de la República, Colombia |
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Derivatives are contingent claims that complete financial markets. Their use allow agents and firms to ameliorate the impact over real variables given a change in relative prices induced by monetary policy, generating a loss in the effectiveness of the traditional transmission channels in the short run. Using an investment model, the impact of the use of derivatives in Colombian monetary channels is verified. Results suggest that monetary policy has lost effectiveness in the short run.
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