Devaluations, Output and the Balance Sheet Effect: A Structural Econometric Analysis

Tovar, Camilo

doi:10.2139/ssrn.948209

Cited by 16 publications

(14 citation statements)

References 54 publications

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“…42 In the model used in this paper, macroeconomic performance tends to deteriorate significantly if the weight put on exchange rate smoothing is more than about 0.5. 43 See e.g., Tovar (2006) who finds that for the Korean economy, the stimulative effects of devaluation outweigh balance sheet effects.…”

Section: Model Parametersmentioning

confidence: 99%

How much should inflation targeters care about the exchange rate?

García

Restrepo

Roger³

2011

Journal of International Money and Finance

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Section: Model Parametersmentioning

confidence: 99%

How much should inflation targeters care about the exchange rate?

García

Restrepo

Roger³

2011

Journal of International Money and Finance

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“…A number of studies have used this financial-accelerator mechanism to account for macroeconomic developments at times of financial crisis. Cespedes et al (2004), Gertler et al (2003), Tovar (2006), and Elekdag et al (2006) consider the case of open economies in emerging markets. Christiano et al (2003) use the financial accelerator in their analysis of the Great Depression in the United States.…”

Section: Introductionmentioning

confidence: 99%

The financial accelerator in an estimated New Keynesian model

Christensen

Dib

2008

Review of Economic Dynamics

265

167

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This paper estimates and simulates a sticky-price dynamic stochastic general-equilibrium model with a financial accelerator, à la Bernanke et al. [Bernanke, B., Gertler, M., Gilchrist, S., 1999. The financial accelerator in a quantitative business cycle framework. In: Handbook of Macroeconomics. North-Holland, Amsterdam], to assess the importance of the financial accelerator mechanism in fitting the data and its role in the amplification and propagation of transitory shocks. Structural parameters of two models, one with and one without a financial accelerator, are estimated using a maximum-likelihood procedure and post-1979 US data. The estimation and simulation results provide quantitative evidence in favor of the financial-accelerator model. The model without a financial accelerator is statistically rejected in favor of a model with it. The presence of the financial accelerator amplifies and propagates the effects of demand shocks on investment, but it dampens those of supply shocks. However, we find that the importance of the financial accelerator for output fluctuations is relatively minor. Crown

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“…Worth mentioning are, for example, the works by Dib and Christensen (2006) and by Borio, Furfino and Lowe (2001). For developing countries, notable examples are the works by Tovar (2006) and by López et al (2008). Cycles in emerging economies are influenced by movements in capital flows.…”

Section: The Endogenous Cycle View: the Financial Acceleratormentioning

confidence: 99%

Early warning indicators for Latin America

Tenjo-Galarza¹,

López²

2010

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We explore the performance of a set of early warning indicators for a group of Latin American economies under the endogenous cycle perspective. For this group of countries, the paper confirms the results of work on industrialized countries that a combination of asset prices and credit provides valuable information of probable future financial crises. However, we go a step further in the analysis of emerging economies and find that a combination of capital flows from abroad and credit is an even superior leading indicator of such events.

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Devaluations, Output and the Balance Sheet Effect: A Structural Econometric Analysis

Cited by 16 publications

References 54 publications

How much should inflation targeters care about the exchange rate?

How much should inflation targeters care about the exchange rate?

The financial accelerator in an estimated New Keynesian model

Early warning indicators for Latin America

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