IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/121192.html
   My bibliography  Save this paper

Política monetaria contractiva en el control de la inflación: caso de estudio de las principales ciudades de Colombia
[Contractionary monetary policy in inflation control: A case study of Colombia's major cities]

Author

Listed:
  • Torres, Nicolás
  • Villarraga, Juan-Pablo
  • Sánchez, Wendy
  • Upegui, Sebastián

Abstract

This paper analyzes the effects of a contractionary monetary policy on the Consumer Price Index (CPI) in Colombia and its 13 main cities between January 2001 and February 2020. For this purpose, Vector Autoregression models (VAR) are used, from which impulse-response functions are obtained. Among the results, it is found that, in the face of a shock, the CPI in most cities begins to fall strongly between months 19 and 20, and loses statistical significance in general in months 23 and 24. Likewise, the CPI of Manizales and Villavicencio has a higher reaction speed in the face of an innovation in interest rates, which could suggest that the credibility of the Central Bank differs between cities.

Suggested Citation

  • Torres, Nicolás & Villarraga, Juan-Pablo & Sánchez, Wendy & Upegui, Sebastián, 2023. "Política monetaria contractiva en el control de la inflación: caso de estudio de las principales ciudades de Colombia [Contractionary monetary policy in inflation control: A case study of Colombia'," MPRA Paper 121192, University Library of Munich, Germany, revised 2023.
    • Handle: RePEc:pra:mprapa:121192
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/121192/1/MPRA_paper_121192.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Thomas A. Lubik & Frank Schorfheide, 2004. "Testing for Indeterminacy: An Application to U.S. Monetary Policy," American Economic Review, American Economic Association, vol. 94(1), pages 190-217, March.
    2. Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco, 2013. "Risk, uncertainty and monetary policy," Journal of Monetary Economics, Elsevier, vol. 60(7), pages 771-788.
    3. Bruno, Valentina & Shin, Hyun Song, 2015. "Capital flows and the risk-taking channel of monetary policy," Journal of Monetary Economics, Elsevier, vol. 71(C), pages 119-132.
    4. Benjamin Nelson & Gabor Pinter & Konstantinos Theodoridis, 2018. "Do contractionary monetary policy shocks expand shadow banking?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(2), pages 198-211, March.
    5. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    6. Fabio Canova, 2005. "The transmission of US shocks to Latin America," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 229-251.
    7. Fernández-Villaverde, J. & Rubio-Ramírez, J.F. & Schorfheide, F., 2016. "Solution and Estimation Methods for DSGE Models," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 527-724, Elsevier.
    8. Arminio Fraga & Ilan Goldfajn & André Minella, 2004. "Inflation Targeting in Emerging Market Economies," NBER Chapters, in: NBER Macroeconomics Annual 2003, Volume 18, pages 365-416, National Bureau of Economic Research, Inc.
    9. Berger, Allen N. & Bouwman, Christa H.S., 2017. "Bank liquidity creation, monetary policy, and financial crises," Journal of Financial Stability, Elsevier, vol. 30(C), pages 139-155.
    10. Óscar Reinaldo Becerra & Luis Fernando Melo Velandia., 2009. "Transmisión de Tasas de Interés bajo el Esquema de Metas de Inflación: Evidencia para Colombia," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 46(133), pages 107-134.
    11. Fabio Canova, 2005. "The transmission of US shocks to Latin America," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 229-251.
    12. Sims, Christopher A, 1980. "Comparison of Interwar and Postwar Business Cycles: Monetarism Reconsidered," American Economic Review, American Economic Association, vol. 70(2), pages 250-257, May.
    13. Biljana Jovanovic & Marko Josimovski, 2021. "Income-specific inflation rates and the effects of monetary policy: the case of North Macedonia," Working Papers 2021-01, National Bank of the Republic of North Macedonia.
    14. James H. Stock & Mark W. Watson, 2001. "Vector Autoregressions," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 101-115, Fall.
    15. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Yildirim, Zekeriya, 2022. "Global financial risk, the risk-taking channel, and monetary policy in emerging markets," Economic Modelling, Elsevier, vol. 116(C).
    2. Ilzetzki, Ethan & Jin, Keyu, 2021. "The puzzling change in the international transmission of U.S. macroeconomic policy shocks," Journal of International Economics, Elsevier, vol. 130(C).
    3. Fornero, Jorge & Kirchner, Markus & Molina, Carlos, 2024. "Estimating shadow policy rates in a small open economy and the role of foreign factors," Journal of International Money and Finance, Elsevier, vol. 140(C).
    4. Hoek, Jasper & Kamin, Steve & Yoldas, Emre, 2022. "Are higher U.S. interest rates always bad news for emerging markets?," Journal of International Economics, Elsevier, vol. 137(C).
    5. Horvath, Jaroslav & Zhong, Jiansheng, 2019. "Unemployment dynamics in emerging countries: Monetary policy and external shocks," Economic Modelling, Elsevier, vol. 76(C), pages 31-49.
    6. Zekeriya Yildirim & Mehmet Ivrendi, 2021. "Spillovers of US unconventional monetary policy: quantitative easing, spreads, and international financial markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-38, December.
    7. Riccardo Degasperi & Fabrizio Venditti, 2024. "US monetary policy spillovers to the euro area," Questioni di Economia e Finanza (Occasional Papers) 891, Bank of Italy, Economic Research and International Relations Area.
    8. Andrés Felipe Londoño & Jorge Andrés Tamayo & Carlos Alberto Velásquez, 2012. "Dinámica de la política monetaria e inflación objetivo en Colombia: una aproximación FAVAR," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 30(68), pages 14-71, June.
    9. Carlo A. Favero, 2007. "Model Evaluation in Macroeconometrics: from early empirical macroeconomic models to DSGE models," Working Papers 327, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    10. Johannes W. Fedderke, 2022. "Identifying steady‐state growth and inflation in the South African economy, 1960–2020," South African Journal of Economics, Economic Society of South Africa, vol. 90(3), pages 279-300, September.
    11. Margaux MacDonald & Michał Ksawery Popiel, 2020. "Unconventional Monetary Policy in a Small Open Economy," Open Economies Review, Springer, vol. 31(5), pages 1061-1115, November.
    12. Kaufmann, Christoph & Leyva, Jaime & Storz, Manuela, 2024. "Insurance corporations’ balance sheets, financial stability and monetary policy," Working Paper Series 2892, European Central Bank.
    13. Òscar Jordà & Moritz Schularick & Alan M. Taylor & Felix Ward, 2019. "Global Financial Cycles and Risk Premiums," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 67(1), pages 109-150, March.
    14. Wenni Lei & Dongzhou Mei & Mi Zhang, 2024. "Global Spillovers of China's Monetary Policy," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 32(3), pages 1-30, May.
    15. Mustafa Caglayan & Kostas Mouratidis & Elham Saeidinezhad, 2011. "Monetary policy effects on output and exchange rates: Results from US, UK and Japan," Working Papers 2011016, The University of Sheffield, Department of Economics.
    16. Jin, Xisong & Nadal De Simone, Francisco, 2020. "Monetary policy and systemic risk-taking in the Euro area investment fund industry: A structural factor-augmented vector autoregression analysis," Journal of Financial Stability, Elsevier, vol. 49(C).
    17. Chang, Kuang-Liang & Chen, Nan-Kuang & Leung, Charles Ka Yui, 2012. "The dynamics of housing returns in Singapore: How important are the international transmission mechanisms?," Regional Science and Urban Economics, Elsevier, vol. 42(3), pages 516-530.
    18. Gouriéroux, Christian & Monfort, Alain & Renne, Jean-Paul, 2017. "Statistical inference for independent component analysis: Application to structural VAR models," Journal of Econometrics, Elsevier, vol. 196(1), pages 111-126.
    19. Iader Giraldo & Carlos Giraldo & José E. Gomez-Gonzalez & Jorge Mario Uribe, 2023. "US uncertainty shocks, credit, production, and prices: The case of fourteen Latin American countries," Documentos de trabajo 20667, FLAR.
    20. Albrizio, Silvia & Choi, Sangyup & Furceri, Davide & Yoon, Chansik, 2020. "International bank lending channel of monetary policy," Journal of International Money and Finance, Elsevier, vol. 102(C).

    More about this item

    Keywords

    inflation; contractionary monetary policy; shocks;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • E63 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy
    • N16 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations - - - Latin America; Caribbean

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:121192. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.