Report
When multiple objectives meet multiple instruments : identifying simultaneous monetary shocks
| العنوان: | When multiple objectives meet multiple instruments : identifying simultaneous monetary shocks |
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| المؤلفون: | Ordoñez-Callamand, Daniel, Hernández-Leal, Juan David, Villamizar-Villegas, Mauricio |
| المصدر: | Akinci, O., O. Y. Culha, U. Ozlale, and G. Sahinbeyoglu (2006): "The E ectiveness of Foreign Exchange Interventions Under Floating Exchange Rate Regime for the Turkish Economy: A Post-Crisis Period Analysis," Applied Economics, 38(12), 1371-1388. ; Amemiya, T. (1973): "Regression Analysis when the Dependent Variable Is Truncated Normal," Econometrica, 41, 997-1016. ; Bergin, P. R. and O. Jorda (2000): "Monetary Policy Coordination: A New Empirical Approach," Department of Economics 01-02, California Davis - Department of Economics. ; RePEc:bdr:borrec:997 |
| بيانات النشر: | Banco de la República de Colombia |
| سنة النشر: | 2017 |
| المجموعة: | Institutional Repository of the Banco de la Republica - Center for Economic Research Support (CAIE) / Centro de Apoyo a la Investigación Económica (CAIE) |
| مصطلحات موضوعية: | Políticas simultáneas, Variables instrumentales, Vectores autorregresivos, Intervención el Banco Central, Trilema monetario, Tobit-VAR, C34 - Truncated and Censored Models, Switching Regression Models, E52 - Monetary Policy, E58 - Central Banks and Their Policies, Simultaneous policies, Instrumental VAR, Central bank intervention, Monetary trilemma, Tasas de interés -- Intervención del estado -- Colombia, Intervención del estado -- Colombia, Bancos centrales -- Colombia, Política monetaria -- Colombia, Tasas de interés -- Intervención del estado -- Turquía, Bancos centrales -- Turquía, Política monetaria -- Turquía, Intervención del estado -- Turquía, E58 - Bancos centrales y sus políticas, C34 - Modelos truncados y censurados, Modelos de regresiones cambiantes, E52 - Política monetaria |
| جغرافية الموضوع: | Bogotá |
| الوصف: | Central banks generally target multiple objectives while having at least the same number of monetary instruments. However, some instruments can be inadvertently collinear, leading to indeterminacy and identification failures. Paradoxically, most empirical studies have shied away from this dependence. In this paper we propose a novel method of identifying simultaneous monetary shocks by introducing a Tobit model within a VAR. An advantage of our method is that it can be easily estimated using only least squares and a maximum likelihood function. Also, the impulse-response analysis can be carried out as in the traditional time-series setting and can be applied in a structural framework. Hence, we model a dual process consisting of a censored foreign exchange intervention policy along with a linear interest rate intervention policy. In simulation exercises we show that our method outperforms a benchmark case of estimating policy functions separately. In fact, as the covariance between shocks increases, so does the performance of our method. In our empirical approach, we estimate the policy covariance for the case of Colombia and Turkey and find significant differences when compared to the benchmark case. |
| نوع الوثيقة: | report |
| وصف الملف: | 39 páginas : gráficas, tablas; PDF; application/pdf |
| اللغة: | English |
| Relation: | Documentos de trabajo; Borradores de Economía; Borradores de Economía; No. 997; https://doi.org/10.32468/be.997; Borrador 997; https://ideas.repec.org/p/bdr/borrec/997.html; http://hdl.handle.net/20.500.12134/6310; http://repositorio.banrep.gov.co/handle/20.500.12134/6310; Akinci, O., O. Y. Culha, U. Ozlale, and G. Sahinbeyoglu (2006): "The E ectiveness of Foreign Exchange Interventions Under Floating Exchange Rate Regime for the Turkish Economy: A Post-Crisis Period Analysis," Applied Economics, 38(12), 1371-1388.; Amemiya, T. (1973): "Regression Analysis when the Dependent Variable Is Truncated Normal," Econometrica, 41, 997-1016.; Bergin, P. R. and O. Jorda (2000): "Monetary Policy Coordination: A New Empirical Approach," Department of Economics 01-02, California Davis - Department of Economics.; RePEc:bdr:borrec:997 |
| DOI: | 10.32468/be.997 |
| الاتاحة: | http://repositorio.banrep.gov.co/handle/20.500.12134/6310 https://hdl.handle.net/20.500.12134/6310 https://doi.org/10.32468/be.997 |
| Rights: | Open Access ; https://creativecommons.org/licenses/by-nc-sa/4.0/ ; Acceso abierto ; Atribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0 ; Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva. |
| رقم الانضمام: | edsbas.A3090A61 |
| قاعدة البيانات: | BASE |
| DOI: | 10.32468/be.997 |
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