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Impact of International Monetary Policy in Uruguay: A favar Approach

In: International Spillovers of Monetary Policy

Author

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  • Elizabeth Bucacos

    (Banco Central del Uruguay)

Abstract

This study analyzes the Uruguayan economy’s vulnerability to foreign monetary policy in the last 20 years. The usual way of assessing monetary policy transmission effects –such as panel data analysis, correlation analysis and even case studies– have not offered much statistically significant evidence for Uruguayan economic growth. However, being a small open dollarized economy with a relatively less sophisticated asset market, it seems plausible that Uruguay may suffer from international monetary policy shocks. The challenge, then, is to unveil the channels through which those monetary shocks finally affect relevant Uruguayan variables. In this paper, factor augmented vector autoregressive (FAVAR) models are used in two stages. In the first stage, the impact of foreign monetary policy is assessed on commodity prices, foreign output, and regional output. In the second one, the effects on real exchange rate, domestic assets (as housing prices) and on domestic output are analyzed.

Suggested Citation

  • Elizabeth Bucacos, 2017. "Impact of International Monetary Policy in Uruguay: A favar Approach," Investigación Conjunta-Joint Research, in: Ángel Estrada García & Alberto Ortiz Bolaños (ed.), International Spillovers of Monetary Policy, edition 1, chapter 10, pages 321-367, Centro de Estudios Monetarios Latinoamericanos, CEMLA.
    • Handle: RePEc:cml:incocp:3-10
    Note: Joint Research Program XX Meeting of the Central Bank Researchers Network
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    References listed on IDEAS

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    1. Diego Labat & Gerardo Licandro, 2021. "Towards a quality currency," Documentos de trabajo 2021005, Banco Central del Uruguay.

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    More about this item

    Keywords

    tapering; emerging economies; housing prices; Uruguay;
    All these keywords.

    JEL classification:

    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets
    • E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy; Modern Monetary Theory

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