POLÍTICA MONETARIA EN MÉXICO. ANÁLISIS SVAR CON RESTRICCIONES DE EXCLUSIÓN
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Resumen
El trabajo evalúa los efectos de la política monetaria en México durante el periodo 2001-2020 mediante vectores autorregresivos estructurales (SVAR) con restricciones de cero en la matriz de efectos contemporáneos. La principal aportación del estudio a la literatura previa en el país es comparar los resultados de modelos con identificaciones tanto recursivas como no recursivas, haciendo énfasis en recobrar el componente sistemático del Banco Central. Se encontró que los modelos no recursivos que añaden a la regla tipo Taylor original las expectativas de inflación o el tipo de cambio eliminan el enigma de precios, mientras que las identificaciones que permiten una reacción bidireccional entre el tipo de cambio y la tasa de interés evaden el enigma del tipo de cambio. Por último, las identificaciones recursivas generan resultados inconsistentes con los modelos neokeynesianos canónicos.
MONETARY POLICY IN MEXICO. SVAR ANALYSIS WITH EXCLUSION RESTRICTIONS
ABSTRACT
This study evaluates the effects of monetary policy in Mexico during the period 2001-2020 using a Structural Vector Autoregressive (SVAR) approach with exclusion restrictions in the contemporaneous effects matrix. The study contributes to the existing literature in the country by comparing the results of models with both recursive and non-recursive identifications, with an emphasis on recovering the systematic component of the Central Bank. It was found that non-recursive models that incorporate inflation expectations or the exchange rate into the original Taylor type rule eliminate the price puzzle. However, only identifications allowing for a bidirectional reaction between the exchange rate and interest rate avoid the exchange rate puzzle. Finally, recursive identifications produce inconsistent results with canonical neo-Keynesian models.
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