When multiple objectives meet multiple instruments : identifying simultaneous monetary shocks

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dc.audiencePolicymakerseng
dc.audienceResearcherseng
dc.audienceStudentseng
dc.audienceTeacherseng
dc.coverage.sucursalBogotáspa
dc.creatorOrdoñez-Callamand, Daniel
dc.creatorHernández-Leal, Juan David
dc.creatorVillamizar-Villegas, Mauricio
dc.date.accessioned2017-05-15T08:30:10Zeng
dc.date.available2017-05-15T08:30:10Zspa
dc.date.created2017-05-15spa
dc.date.issued2017-05-15eng
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.eng
dc.format.extent39 páginas : gráficas, tablasspa
dc.format.mimetypePDFspa
dc.identifier.handlehttps://hdl.handle.net/20.500.12134/6310spa
dc.identifier.urihttps://repositorio.banrep.gov.co/handle/20.500.12134/6310eng
dc.language.isoengeng
dc.publisherBanco de la República de Colombiaspa
dc.relation.doihttps://doi.org/10.32468/be.997spa
dc.relation.ispartofDocumentos de trabajospa
dc.relation.ispartofseriesBorradores de Economíaspa
dc.relation.isversionofBorradores de Economía; No. 997spa
dc.relation.numberBorrador 997spa
dc.relation.repechttps://ideas.repec.org/p/bdr/borrec/997.htmlspa
dc.rights.accessRightsOpen Accesseng
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0eng
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.spa
dc.rights.spaAcceso abiertospa
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/eng
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.eng
dc.source.bibliographicCitationAmemiya, T. (1973): "Regression Analysis when the Dependent Variable Is Truncated Normal," Econometrica, 41, 997-1016.eng
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.eng
dc.source.handleRepecRePEc:bdr:borrec:997spa
dc.subjectPolíticas simultáneasspa
dc.subjectVariables instrumentalesspa
dc.subjectVectores autorregresivosspa
dc.subjectTobit-VAReng
dc.subjectIntervención el Banco Centralspa
dc.subjectTrilema monetariospa
dc.subject.jelC34 - Truncated and Censored Models; Switching Regression Modelseng
dc.subject.jelE52 - Monetary Policyeng
dc.subject.jelE58 - Central Banks and Their Policieseng
dc.subject.jelspaE58 - Bancos centrales y sus políticasspa
dc.subject.jelspaC34 - Modelos truncados y censurados; Modelos de regresiones cambiantesspa
dc.subject.jelspaE52 - Política monetariaspa
dc.subject.keywordSimultaneous policieseng
dc.subject.keywordInstrumental VAReng
dc.subject.keywordTobit-VAReng
dc.subject.keywordCentral bank interventioneng
dc.subject.keywordMonetary trilemmaeng
dc.subject.lembTasas de interés -- Intervención del estado -- Colombiaspa
dc.subject.lembIntervención del estado -- Colombiaspa
dc.subject.lembBancos centrales -- Colombiaspa
dc.subject.lembPolítica monetaria -- Colombiaspa
dc.subject.lembTasas de interés -- Intervención del estado -- Turquíaspa
dc.subject.lembBancos centrales -- Turquíaspa
dc.subject.lembPolítica monetaria -- Turquíaspa
dc.subject.lembIntervención del estado -- Turquíaspa
dc.titleWhen multiple objectives meet multiple instruments : identifying simultaneous monetary shockseng
dc.typeWorking Papereng
dc.type.hasversionPublished Versioneng
dc.type.spaDocumentos de trabajospa

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