Working Papers N° 921: Monetary Policy Surprises in Chile: Measurement & Real Effects
Publications
Working Papers N° 921: Monetary Policy Surprises in Chile: Measurement & Real Effects
Autor: Boragan Aruoba , Andrés Fernández , Daniel Guzmán , Ernesto Pastén , Felipe Saffie
Description
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.
Working Papers N° 921: Monetary Policy Surprises in Chile: Measurement & Real Effects
Boxes and graphics