Title: Efecto traspaso de tasas de interés: análisis econométrico de los efectos de las decisiones de política monetaria en República Dominicana
Authors: Andújar Scheker, Julio Gabriel
Keywords: EFECTO TRASPASO DE TASAS DE INTERÉS
MECANISMOS DE TRANSMISIÓN
POLÍTICA MONETARIA
COINTEGRACIÓN
MECANISMOS DE CORRECCIÓN DE ERRORES
REGRESIÓN MÓVIL
REPÚBLICA DOMINICANA
Issue Date: Jul-2012
Publisher: Universidad Católica de Colombia. Facultad de Ciencias Económicas y Administrativas
Citation: Andújar Scheker, J. (2012). Efecto traspaso de tasas de interés: análisis econométrico de los efectos de las decisiones de política monetaria en República Dominicana. Revista Finanzas y Política Económica, 4 (2) 83-102. Obtenido de https://editorial.ucatolica.edu.co/ojsucatolica/revistas_ucatolica/index.php/RFYPE/article/view/463
Abstract: El estudio de los mecanismos de transmisión de las decisiones de tasas de interés de los bancos centrales es esencial para el diseño e implementación de una política monetaria efectiva y eficiente. La medición de cómo afectan los cambios en la tasa de política monetaria a las tasas de interés de largo plazo de la economía, se conoce en la literatura empírica como efecto traspaso de tasas de interés. Esta investigación desarrolla una estrategia econométrica, basada en técnicas de cointegración, mecanismos de corrección de errores y regresiones recursivas, para estimar la magnitud, completitud, rigidez y velocidad de convergencia del efecto traspaso de tasas de interés en República Dominicana. A su vez, evalúa la posible existencia de cambios estructurales en dicha transmisión.
Bibliography References: Akaike, H. (1974). A New Look at the Statistical Model Identification. IEEE Transactions on Automatic Control, 19, 716-723.

Akaike, H. (1976). Canonical Correlation Analysis of Time Series and the Use of an Information Criterion. En R.K. Mehra, and D.G. Lainiotis (Eds.). System Identification: Advances and Case Studies. New York: Academic Press.

Andújar-Scheker, J. G. (enero-marzo, 2005). Reformas económicas y negociaciones políticas: apuntes sobre la experiencia dominicana de los noventa. Ciencia y Sociedad, 30(1), 7-57.

Andújar-Scheker, J. G. & Medina, A. (2007). Modelo macroeconómico de pequeña escala para República Dominicana (Informe de Política Monetaria). Santo Domingo: Banco Central de la República Dominicana.

Bernanke, B. S. & Mishkin, F. S. (1997). Inflation Targeting: A New Framework for Monetary Policy? NBER Working Papers, 5893, p. 1-31.

Breusch, T. S. & Pagan, A. R. (1980). The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics. Review of Economic Studies, 47(1), 239-253.

Brown, R. L. Durbin, J. & Evans, J. M. (1975). Techniques for Testing the Constancy of Regression Relationships Over Time. Journal of the Royal Statistical Society, Series B, 37(2), 149-163.

Burgstaller, J. (december, 2005). Interest Rate Pass-through Estimates from Vector Autoregressive Models (Working paper No. 0510). Austria: Johannes Kepler University of Linz.

Cáceres, L. R. (enero-marzo, 2002). Inercia en las tasas de interés de El Salvador y Guatemala. El Trimestre Económico, 69(1), 95-113.

Cecchetti, S. G. (mayo, 1995). Distinguishing Theories of the Monetary Transmission Mechanism. Federal Reserve Bank of St. Louis, 83-97.

Cecchetti, S. G. (mayo, 1999). The Future of Financial Intermediation and Regulation: an Overview. Current Issues in Economics and Finance, 8(5), 1-6.

Cottarelli, C. & Kourelis, A. (1994). Financial Structure, Bank Lending Rates, and the Transmission Mechanism of Monetary Policy. IMF Staff Papers, 41(4), 587-623.

Chionis, D. & Leon, C. A. (2005). Modeling Interest Rate Transmission Dynamics in Greece. Is There Any Structural Break After EMU? (Working paper) Greece: Department of Thrace.

Dickey, D. A. & Fuller, W. A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root. Econometrica, 49(4), 1057-1077.

Engle, R. F. (Julio, 1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50(4), 987-1007.

Engel, R. & Granger, C. W. J. (1987). Coitegration and Error Correction: Representation, Estimation and Testing. Econometrica, 55(2), 251-276.

Espinosa-Vega, M. A. & Rebucci, A. (2003). Retail Bank Interest Rate Pass-Through: Is Chile Atypical? (Working papers). Santiago: Central Bank of Chile.

Gilbert, C. L. & Qin, D. (2005). The First Fifty Years of Modern Econometrics. In Patterson, Kerry and Mills, Terence (eds.). Palgrave’s Handbook of Econometrics, 1, 117-155. Basingstoke: Palgrave Macmillan.

Gilbert, C. L. & Qin, D. (abril, 2001). The Error Term in the History of Time series Econometrics. Econometric Theory, 17(2), 424-450.

Godfrey, L. G. (1988). Misspecification Tests in Econometrics: The Lagrange Multiplier Principle and Other Approaches. New York: Cambridge University Press.

Granger, C. W. J. (junio, 2004). Time Series Analysis, Cointegration, and Applications. American Economic Review, 94(3), 421-425.

Greene, W. H. (1993). Econometric Analysis. New York: Macmillan Publishing Company.

Grippa, F. (2004). Measuring Monetary Policy in Peru (Working paper). Lima: Banco Central de Reserva del Perú.

Hannan, E. J. & Quinn, B. G. (1979). The Determination of the Order of an Autoregression. Journal of the Royal Statistical Society, 41(2), 190-195.

Hansen, H. & Johansen, S. (febrero, 1999). Some Tests for Parameter Constancy in Cointegrated VAR-models. Econometrics Journal, 2, 306-333.

Hendry, D. F. (1995). Dynamic Econometrics. USA: Oxford University Press.

Hofmann, B. & Goodhart, Ch. (2000). Asset Prices, Financial Conditions, and the Transmission of Monetary Policy. Kansas City: Federal Reserve Bank of Kansas City Proceedings, March.

Jarque, C. M. & Bera, A. (agosto, 1987). A Test for Normality of Observations and Regression Residuals. International Statistical Review, 55(2), 163-172.

Johansen, S. (1988). Statistical Analysis of Cointegrating Vectors. Journal of Economic Dynamics and Control, 12, 231-254.

Kydland, F. & Prescott, E. C. (1977). Rules Rather Than Discretion: The Inconsistency of Optimal Plans. Journal of Political Economy, University of Chicago Press, 85(3), 473-491.

Kwiatkowsky, D., Phillips, P. C. B., Shmidt, P. & Shin, Y. (1992). Testing the Null Hypothesis of Stationary Against the Alternative of a Unit Root. Journal of Econometrics, 54, 159-178.

Gobierno Dominicano. (2002). Ley Monetaria y Financiera No.183-02. Gaceta Oficial, año CXLVI, 10187. Santo Domingo.

Leyva-Jimenez, G. (2004). The Pass-through of Interest Rates in Peru: An Analysis of the Monetary Policy Effectiveness (Working paper). Lima, Perú: Universidad Agraria La Molina.

Maddala, G. S. & Kim, I. (2003). Unit Roots, Cointegration, and Structural Change, Themes in Modern Econometrics (Working paper). USA: Cambridge University Press.

McCallum, B. (1999). Analysis of the Monetary Transmission Mechanism: Methodological Issues (NBER working paper series No. 7395). USA: National Bureau of Economic Research.

Mishkin, F. S. (1995). Symposium on the Monetary Transmission Mechanism. The Journal of Economic Perspectives, 9(4), 3-10.

Perron, P. (1989). The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis. Econometrica, 57(6), 1361-1401.

Perron, P. (1997). Further Evidence on Breaking Trend Functions in Macroeconomic Variables. Journal of Econometrics, 80(2), 355-385.

Phillips, P. C. B. & Perron, P. (1988). Testing for Unit Roots in Time Series Regression. Biometrika, 75(2), 335-346.

Poddar, T., Goswami, M., Solé, J. & Echevarria Icaza, V. (1994). Interest Rates Determination in Lebanon (IMF Working Paper 06-94). Washington D.C.: International Monetary Fund.

Sánchez Fung, J. R. (2003). Reglas Monetarias, Metas de Inflación y sus Aplicaciones Potenciales en el Diseño e Implementación de la Política Monetaria en la Republica Dominicana (Documento de Trabajo). Santo Domingo: BCRD.

Sánchez Fung, J. R. (2005). Estimating a Monetary Policy Reaction Function for the Dominican Republic. International Economic Journal, 19(4), 563-577.

Schwarz, G. (1978). Estimating the Dimensions of a Model. Annals of Statistics, 6(2), 461-464.

Sims, C. (1980). Macroeconomics and Reality. Econometrica, 1(48), 1-48.

Taylor, J. B. (1995). The monetary transmission mechanism: an empirical framework (Working Papers in Applied Economic Theory 95-07). USA: Federal Reserve Bank of San Francisco.

Toolsema et al. (2001) Convergence of Monetary Transmission in EMU: New Evidence (Working Paper 465). Munich: CESifo.

Walsh, C. E. (2000). Monetary Theory and Policy. Cambridge, Mass: The M.I.T. Press.

Williams, O. (2001). The Transmission of Monetary Policy in the Dominican Republic (Working Paper). Washington D.C.: International Monetary Fund.

Williamson, J. (1991). The Progress of Policy Reform in Latin America. Washington, D.C.: Institute for International Economics.
URI: https://hdl.handle.net/10983/18515
ISSN: 2248-6046
Is part of: Revista Finanzas y Política Económica, Vol. 4, no. 2 (jul. – dic. 2012) p. 83-102.
Appears in Collections:CAD. Finanzas y Política Económica



This item is protected by original copyright



Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.