Impact of International Monetary Policy in Uruguay: A favar Approach
Elizabeth Bucacos ()
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Elizabeth Bucacos: Banco Central del Uruguay
Chapter 10 in International Spillovers of Monetary Policy, 2017, pp 321-367 from Centro de Estudios Monetarios Latinoamericanos, CEMLA
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.
Keywords: tapering; emerging economies; housing prices; Uruguay (search for similar items in EconPapers)
JEL-codes: E42 R31 E62 (search for similar items in EconPapers)
Note: Joint Research Program XX Meeting of the Central Bank Researchers Network
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