Nonconventional monetary policy in a regime-switching model with endogenous financial crises / Leonardo Barreto.
Material type:
TextLanguage: English Series: Documentos CEDE ; 34Publisher: Bogotá : Universidad de los Andes, Facultad de Economía, CEDE, 2018Description: 39 páginas : gráficos ; 28 cmContent type: texto Media type: sin mediación Carrier type: volumenISSN: 1657-5334Subject(s): Política monetaria -- Colombia | Crisis financiera -- Colombia | Inflación objetivo -- ColombiaDDC classification: 332.46 Online resources: Consulta en línea Abstract: This paper develops a regime-switching newkeynesian model for a small open economy, with an occasionally binding financial friction that allows for endogenous financial crises. The model has two regimes: a regime for normal economic times, in which financial market access is unconstrained, and a crisis regime, characterized by curtailed access to foreign borrowing. The transition probability between regimes depends on the endogenous variables of the model. We employ this framework to analyze the macroeconomic implications of adapting the Inflation Targeting (IT) strategy in a way that takes into account the possibility to prevent the occurrence of financial crises. We calibrate the model using Colombian historical data. The results show that monetary policy has major limitations when it seeks to prevent financial crises. As the central bank gives more importance to the GDP growth gap, the frequency with which crises occur decreases. However, this reduction is quantitatively small.
| Item type | Current library | Collection | Call number | Copy number | Status | Date due | Barcode | Item holds |
|---|---|---|---|---|---|---|---|---|
Libros
|
Biblioteca CESA
Diagonal 34 A No. 5 A - 23 Casa Incolda PBX: 339 53 00 serviciosbiblioteca@cesa.edu.co |
General | 332.46 / B273n 2018 (Browse shelf(Opens below)) | Ej.1 | Available | 7101026407 |
Incluye referencias bibliográficas.
This paper develops a regime-switching newkeynesian model for a small open economy, with an occasionally binding financial friction that allows for endogenous financial crises. The model has two regimes: a regime for normal economic times, in which financial market access is unconstrained, and a crisis regime, characterized by curtailed access to foreign borrowing. The transition probability between regimes depends on the endogenous variables of the model. We employ this framework to analyze the macroeconomic implications of adapting the Inflation Targeting (IT) strategy in a way that takes into account the possibility to prevent the occurrence of financial crises. We calibrate the model using Colombian historical data. The results show that monetary policy has major limitations when it seeks to prevent financial crises. As the central bank gives more importance to the GDP growth gap, the frequency with which crises occur decreases. However, this reduction is quantitatively small.
Click on an image to view it in the image viewer
There are no comments on this title.