[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/a/blv/journl/v6-7y2003i2-1p7-50.html
   My bibliography  Save this article

Inflación y depreciación en una economía dolarizada. El caso de Bolivia

Author

Listed:
  • Luis Fernando Escobar Patiño

    (Banco Central de Bolivia)

  • Pablo Mendieta Ossio

    (Banco Central de Bolivia)

Abstract
El trabajo examina empíricamente la magnitud del coeficiente de traspaso del tipo de cambio nominal a los precios internos ("pass-through") en Bolivia, utilizando distintas metodologías de vectores autoregresivos. Los resultados indican que la magnitud de este coeficiente es relativamente mayor a la encontrada para economías vecinas (incluyendo la experiencia peruana, que posee características similares en cuanto a dolarización se refiere), lo que reflejaría el grado de importancia del tipo de cambio como ancla nominal. Es probable que la caída observada en el coeficiente de traspaso en los últimos años esté relacionada con la casi nula modificación de los precios administrados de los hidrocarburos y, no con una caída estructural como en el caso de otras economías. El trabajo confirma la relación no lineal entre la inflación y la depreciación, aunque distinta a la obtenida anteriormente en otros estudios: una mayor tasa de depreciación incrementa rápidamente el traspaso y hace que el efecto sea más variable; mientras que menores tasas de depreciación reducen de forma gradual el coeficiente de traspaso. Finalmente, se obtuvo una estimación del coeficiente de traspaso esperado, que resultó cercano a la unidad y que difiere del traspaso efectivo, mostrando el rol crucial que tiene el tipo de cambio como ancla nominal de las expectativas de los agentes económicos.

Suggested Citation

  • Luis Fernando Escobar Patiño & Pablo Mendieta Ossio, 2003. "Inflación y depreciación en una economía dolarizada. El caso de Bolivia," Revista de Análisis del BCB, Banco Central de Bolivia, vol. 6(2-1), pages 7-50, December.
    • Handle: RePEc:blv:journl:v:6-7:y:2003:i:2-1:p:7-50
    as

    Download full text from publisher

    File URL: https://www.bcb.gob.bo/webdocs/publicacionesbcb/revista_analisis/ra_vol0602/articulo_1_v6_2_v7_1.pdf
    Download Restriction: no
    File URL: https://www.bcb.gob.bo/?q=pub_revista-analisis
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Pesaran, M. Hashem & Shin, Yongcheol & Smith, Richard J., 2000. "Structural analysis of vector error correction models with exogenous I(1) variables," Journal of Econometrics, Elsevier, vol. 97(2), pages 293-343, August.
    2. Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, vol. 79(4), pages 655-673, September.
    3. Alain Ize & Andrew Powell, 2003. "Prudential Responses to De Facto Dollarization," Business School Working Papers defactodollarization, Universidad Torcuato Di Tella.
    4. Alexander Mihailov, 2009. "Exchange rate pass-through to prices in macrodata: a comparative sensitivity analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(4), pages 346-377.
    5. Peter Rowland, 2003. "Exchange Rate Pass-Throught to Domestic Prices: The Case of Colombia," Borradores de Economia 254, Banco de la Republica de Colombia.
    6. Taylor, John B., 2000. "Low inflation, pass-through, and the pricing power of firms," European Economic Review, Elsevier, vol. 44(7), pages 1389-1408, June.
    7. Martin Cerisola & Gaston Gelos, 2009. "What drives inflation expectations in Brazil? An empirical analysis," Applied Economics, Taylor & Francis Journals, vol. 41(10), pages 1215-1227.
    8. Alexander Mihailov, 2009. "Exchange rate pass-through to prices in macrodata: a comparative sensitivity analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(4), pages 346-377.
    9. Dr Martin Weale & Dr. James Mitchell, 2000. "Cointegrating VAR models with endogenous I(0) variables: theoretical extensions and an application to UK monetary policy," National Institute of Economic and Social Research (NIESR) Discussion Papers 169, National Institute of Economic and Social Research.
    10. Anotai Buddhari & Varapat Chensavasdijai, 2003. "Inflation dynamics and its implications for monetary policy," Working Papers 2003-05, Monetary Policy Group, Bank of Thailand.
    11. Hahn, Elke, 2003. "Pass-through of external shocks to euro area inflation," Working Paper Series 243, European Central Bank.
    12. Carlos José García T. & Jorge Enrique Restrepo, 2003. "Price Inflation and Exchange Rate Pass-Trough in Chile," Money Affairs, CEMLA, vol. 0(1), pages 69-88, January-J.
    13. Jonathan McCarthy, 2007. "Pass-Through of Exchange Rates and Import Prices to Domestic Inflation in Some Industrialized Economies," Eastern Economic Journal, Eastern Economic Association, vol. 33(4), pages 511-537, Fall.
    14. Nikolay Gueorguiev, 2003. "Exchange Rate Pass-Through in Romania," IMF Working Papers 2003/130, International Monetary Fund.
    15. Peter Rowland, 2003. "Exchange Rate Pass-Through To Domestic Prices: The Case Of Colombia," Borradores de Economia 2683, Banco de la Republica.
    16. Ms. Agnes A Belaisch, 2003. "Exchange Rate Pass-Through in Brazil," IMF Working Papers 2003/141, International Monetary Fund.
    17. MacKinnon, James G, 1996. "Numerical Distribution Functions for Unit Root and Cointegration Tests," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(6), pages 601-618, Nov.-Dec..
    18. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    19. Dolado, Juan J & Jenkinson, Tim & Sosvilla-Rivero, Simon, 1990. "Cointegration and Unit Roots," Journal of Economic Surveys, Wiley Blackwell, vol. 4(3), pages 249-273.
    20. Ilan Goldfajn & Sérgio Ribeiro da Costa Werlang, 2000. "The Pass-through from Depreciation to Inflation: A Panel Study," Working Papers Series 5, Central Bank of Brazil, Research Department.
    21. Favero, Carlo A., 2001. "Applied Macroeconometrics," OUP Catalogue, Oxford University Press, number 9780198296850.
    22. Zulfiqar Hyder & Sardar Shah, 2004. "Exchange Rate Pass-Through to Domestic Prices in Pakistan," SBP Working Paper Series 05, State Bank of Pakistan, Research Department.
    23. Morales, Juan Antonio, 1989. "La Transición de la Estabilidad al Crecimiento Sostenido en Bolivia," Documentos de trabajo 4/1989, Instituto de Investigaciones Socio-Económicas (IISEC), Universidad Católica Boliviana.
    24. Dr Martin Weale & Dr. James Mitchell, 2000. "Cointegrating VAR models with endogenous I(0) variables: theoretical extensions and an application to UK monetary policy," National Institute of Economic and Social Research (NIESR) Discussion Papers 169, National Institute of Economic and Social Research.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Bohórquez Coro, Claudia Mabel & Caballero Claure, Benigno & Caballero Martínez, Rolando, 2020. "Análisis de la inflación en Bolivia. Un enfoque Markov- Switching con tres estados," Revista Latinoamericana de Desarrollo Economico, Carrera de Economía de la Universidad Católica Boliviana (UCB) "San Pablo", issue 33, pages 213-235, May.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Hernán Rincón-Castro & Norberto Rodríguez-Niño, 2016. "Nonlinear Pass-Through of Exchange Rate Shocks on Inflation: A Bayesian Smooth Transition VAR Approach," Borradores de Economia 14299, Banco de la Republica.
    2. Hernán Rincón-Castro & Norberto Rodríguez-Niño, 2018. "Nonlinear state and shock dependence of exchange rate pass through on prices," BIS Working Papers 690, Bank for International Settlements.
    3. Martins Bitans, 2004. "Pass-Through of Exchange Rates to Domestic Prices in East European Countries and the Role of Economic Enviroment," Working Papers 2004/04, Latvijas Banka.
    4. Lian An & Jian Wang, 2012. "Exchange Rate Pass-Through: Evidence Based on Vector Autoregression with Sign Restrictions," Open Economies Review, Springer, vol. 23(2), pages 359-380, April.
    5. Atif Ali Jaffri, 2010. "Exchange Rate Pass-through to Consumer Prices in Pakistan: Does Misalignment Matter?," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 49(1), pages 19-35.
    6. Dubravko Mihaljek & Marc Klau, 2008. "Exchange rate pass-through in emerging market economies: what has changed and why?," BIS Papers chapters, in: Bank for International Settlements (ed.), Transmission mechanisms for monetary policy in emerging market economies, volume 35, pages 103-130, Bank for International Settlements.
    7. Andrés Sansone & Santiago Justel, 2016. "Exchange rate pass-through to prices: var evidence for Chile," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 19(1), pages 20-37, April.
    8. Jiang, Jiadan & Kim, David, 2013. "Exchange rate pass-through to inflation in China," Economic Modelling, Elsevier, vol. 33(C), pages 900-912.
    9. Ganapati Mendali & Sanjukta Das, 2017. "Exchange Rate Pass-through to Domestic Prices," Foreign Trade Review, , vol. 52(3), pages 135-156, August.
    10. Ülke, Volkan, 2015. "The Degree of Currency Substitution and Exchange Rate Pass-Through," MPRA Paper 75633, University Library of Munich, Germany, revised 15 Dec 2015.
    11. Shambaugh, Jay, 2008. "A new look at pass-through," Journal of International Money and Finance, Elsevier, vol. 27(4), pages 560-591, June.
    12. Nidhaleddine Ben Cheikh & Christophe Rault, 2016. "Recent estimates of exchange rate pass-through to import prices in the euro area," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 152(1), pages 69-105, February.
    13. Sek, Siok Kun & Kapsalyamova, Zhanna, 2008. "Exchange rate pass-through and volatility: Impacts on domestic prices in four Asian countries," MPRA Paper 11130, University Library of Munich, Germany, revised 26 Oct 2008.
    14. René Lalonde & Zhenhua Zhu & Frédérick Demers, 2003. "Forecasting and Analyzing World Commodity Prices," Money Affairs, CEMLA, vol. 0(1), pages 1-30, January-J.
    15. Rucha R. Ranadive & L.G. Burange, 2015. "Transmission Mechanism of Exchange Rate Pass-through in India," Foreign Trade Review, , vol. 50(4), pages 263-283, November.
    16. Barhoumi, Karim, 2006. "Differences in long run exchange rate pass-through into import prices in developing countries: An empirical investigation," Economic Modelling, Elsevier, vol. 23(6), pages 926-951, December.
    17. José Romero, 2013. "¿Es posible utilizar el tipo de cambio para hacer más competitiva la economía mexicana?," Serie documentos de trabajo del Centro de Estudios Económicos 2013-10, El Colegio de México, Centro de Estudios Económicos.
    18. repec:zbw:bofitp:2016_014 is not listed on IDEAS
    19. Peter Rowland, 2003. "Exchange Rate Pass-Through To Domestic Prices: The Case Of Colombia," Borradores de Economia 2683, Banco de la Republica.
    20. Faryna, Oleksandr, 2016. "Exchange rate pass-through and cross-country spillovers: Some evidence from Ukraine and Russia," BOFIT Discussion Papers 14/2016, Bank of Finland, Institute for Economies in Transition.
    21. Peter Rowland, 2003. "Exchange Rate Pass-Throught to Domestic Prices: The Case of Colombia," Borradores de Economia 254, Banco de la Republica de Colombia.

    More about this item

    Keywords

    inflación; depreciación; vectores autorregresivos;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:blv:journl:v:6-7:y:2003:i:2-1:p:7-50. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Jose Antonio Caballero Pelaez (email available below). General contact details of provider: https://edirc.repec.org/data/bcbgvbo.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.