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Estimating Shadow Policy Rates in a Small Open Economy and the Role of Foreign Factors

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  • Jorge Fornero
  • Markus Kirchner
  • Carlos Molina

Abstract

Shadow monetary policy rates (SMPRs) are useful to evaluate the policy stance when interest rates are at their lower bounds and unconventional policies are implemented. We present a methodology to estimate an SMPR for the case of a small open economy based on a dynamic factor model, which allows to consider the impact of foreign monetary conditions on domestic ones. An application to Chile shows that under large negative shocks, unconventional policies drove the domestic SMPR to negative levels. Also, the SMPR is mainly driven by domestic (foreign) factors in the short (long) run, lending support to the classic trilemma.

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  • Jorge Fornero & Markus Kirchner & Carlos Molina, 2021. "Estimating Shadow Policy Rates in a Small Open Economy and the Role of Foreign Factors," Working Papers Central Bank of Chile 915, Central Bank of Chile.
    • Handle: RePEc:chb:bcchwp:915
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    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
    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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