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dc.creatorOrdoñez-Callamand, Daniel
dc.creatorHernández-Leal, Juan David
dc.creatorVillamizar-Villegas, Mauricio
dc.description.abstractCentral 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.
dc.format.extent39 páginas : gráficas, tablas
dc.publisherBanco de la República de Colombia
dc.relation.ispartofDocumentos de trabajo
dc.relation.ispartofseriesBorradores de Economía
dc.relation.isversionofBorradores de Economía; No. 997
dc.rights.accessRightsOpen Access
dc.subjectPolíticas simultáneas
dc.subjectVariables instrumentales
dc.subjectVectores autorregresivos
dc.subjectIntervención el Banco Central
dc.subjectTrilema monetario
dc.titleWhen multiple objectives meet multiple instruments : identifying simultaneous monetary shocks
dc.typeWorking Paper
dc.subject.jelC34 - Truncated and Censored Models; Switching Regression Models
dc.subject.jelE52 - Monetary Policy
dc.subject.jelE58 - Central Banks and Their Policies
dc.subject.keywordSimultaneous policies
dc.subject.keywordInstrumental VAR
dc.subject.keywordCentral bank intervention
dc.subject.keywordMonetary trilemma
dc.subject.lembTasas de interés -- Intervención del estado -- Colombia
dc.subject.lembIntervención del estado -- Colombia
dc.subject.lembBancos centrales -- Colombia
dc.subject.lembPolítica monetaria -- Colombia
dc.subject.lembTasas de interés -- Intervención del estado -- Turquía
dc.subject.lembBancos centrales -- Turquía
dc.subject.lembPolítica monetaria -- Turquía
dc.subject.lembIntervención del estado -- Turquía
dc.type.spaDocumentos de trabajo
dc.rights.spaAcceso abierto
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0
dc.subject.jelspaE58 - Bancos centrales y sus políticas
dc.subject.jelspaC34 - Modelos truncados y censurados; Modelos de regresiones cambiantes
dc.subject.jelspaE52 - Política monetaria
dc.type.hasversionPublished Version
dc.source.bibliographicCitationAkinci, 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.
dc.source.bibliographicCitationAmemiya, T. (1973): "Regression Analysis when the Dependent Variable Is Truncated Normal," Econometrica, 41, 997-1016.
dc.source.bibliographicCitationBergin, P. R. and O. Jorda (2000): "Monetary Policy Coordination: A New Empirical Approach," Department of Economics 01-02, California Davis - Department of Economics.
dc.rights.disclaimerLas 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.

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