Financial Conditions and Monetary Policy in Uruguay: An MS-VAR Approach

Elizabeth Bucacos

No 8275, IDB Publications (Working Papers) from Inter-American Development Bank

Abstract: This study analyzes the effects of "financial stress" on the Uruguayan macroeconomy in the 1998Q3-2016Q2 period with the underlying idea that financial shocks propagate differently during "normal times" than during times of "stress." This behavior is captured in a multivariate framework through a Markovswitching vector auto regressive (MS-VAR) model. The evidence found so far supports the idea that financial conditions affect the macroeconomy, as they not only change the private investment long-run average growth rate but also directly modify the behavior of monetary policy.

Keywords: Financial Conditions; Monetary Policy; Private Investment (search for similar items in EconPapers)
JEL-codes: C34 E27 E44 E62 (search for similar items in EconPapers)
Date: 2017-04
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://publications.iadb.org/publications/english ... -MS-VAR-Approach.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:idb:brikps:8275

DOI: 10.18235/0000699

Access Statistics for this paper

More papers in IDB Publications (Working Papers) from Inter-American Development Bank Contact information at EDIRC.
Bibliographic data for series maintained by Felipe Herrera Library ().