Monetary Policy Surprises in Chile: Measurement & Real Effects

S. Boragan Aruoba, Andrés Fernández Martin, Daniel Guzman Giron (), Ernesto Pasten and Felipe Saffie

Working Papers Central Bank of Chile from Central Bank of Chile

Abstract: This paper accomplishes two goals: First, it proposes a way to compute monetary policy surprises in Chile based on a survey of financial market participants regularly conducted by Bloomberg. We argue this is the most suitable one among alternatives. Second, we use these monetary policy surprises as input in a Bayesian Vector Auto Regression analysis to estimate the effect of contractionary monetary policy. Output and inflation tend to fall while funding costs tend to increase. Expected inflation a has hump-shaped response and nominal exchange rates tend to depreciate instead of appreciating. We argue the latter two effects are consistent with an "information channel" embedded in monetary policy decisions.

Date: 2021-08
New Economics Papers: this item is included in nep-cba, nep-isf, nep-mac and nep-mon
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchwp:921

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