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Choques de colas anchas y política monetaria

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  • Ortiz, Marco

Abstract

Este documento extiende el modelo de Kato y Nishiyama (2005) al introducir choques de colas anchas en un marco neokeynesiano simple, en el que el banco central considera en forma explícita la restricción de no negatividad de la tasa de interés. Los choques con curtosis excesiva hacen que la política monetaria sea más agresiva lejos de la región restringida. Sin embargo, esta diferencia se revierte a medida que la economía se aproxima a la región restringida. Desde un punto de vista cuantitativo, los resultados sugieren que cambios de curtosis que mantienen la varianza constante, en la forma de choques laplacianos, no producen efectos significativos en la reacción óptima del banco central.

Suggested Citation

  • Ortiz, Marco, 2015. "Choques de colas anchas y política monetaria," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 29, pages 17-31.
    • Handle: RePEc:rbp:esteco:ree-29-02
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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