Financial Conditions and Monetary Policy in Uruguay: An MS-VAR Approach
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.
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| Format: | Working Papers biblioteca |
| Language: | English |
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Inter-American Development Bank
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| Subjects: | Private Investment, Macroeconomy, Monetary Policy, Financial Market, C34 - Truncated and Censored Models • Switching Regression Models, E27 - Forecasting and Simulation: Models and Applications, E44 - Financial Markets and the Macroeconomy, E62 - Fiscal Policy, Financial Conditions;Monetary Policy;Private Investment, |
| Online Access: | http://dx.doi.org/10.18235/0000699 https://publications.iadb.org/en/financial-conditions-and-monetary-policy-uruguay-ms-var-approach |
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