[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
IDEAS home Printed from https://ideas.repec.org/p/col/000094/005254.html
   My bibliography  Save this paper

La transmisión de la política monetaria sobre el consumo en presencia de restricciones de liquidez

Author

Listed:
  • Ana María Iregui
  • Ligia Alba Melo B.
Abstract
El objetivo de este documento es evaluar el impacto de la política monetaria, sobre elconsumo de los hogares colombianos, a través del efecto que ésta tiene sobre la tasa deinterés. Para esto, se utiliza un modelo que combina elementos de la hipótesis del ingresopermanente y del ciclo de vida. Adicionalmente, se incorporan restricciones de liquidezdebido al poco acceso de la población al sistema financiero en Colombia. El análisisempírico se realiza a partir de un ejercicio de calibración de una función consumo,utilizando información trimestral para el período 1994-2006, en el cual se considera, de unlado, que toda la población tiene acceso al sistema financiero y, de otro, que un segmentode la población no tiene acceso. En el primer caso, la calibración arroja una elasticidad desustitución intertemporal de 0,405, y se encuentra que un choque inesperado a la tasa deinterés de un punto porcentual disminuye, ceteris paribus, el consumo corriente en 0,41%.En el segundo caso, se obtiene una elasticidad intertemporal de sustitución de 0,445,cuando se supone que el 43% del ingreso laboral pertenece a los consumidores conrestricciones de liquidez; entre más alto sea este porcentaje, mayor será la elasticidadintertemporal de sustitución.

Suggested Citation

  • Ana María Iregui & Ligia Alba Melo B., 2009. "La transmisión de la política monetaria sobre el consumo en presencia de restricciones de liquidez," Borradores de Economia 5254, Banco de la Republica.
    • Handle: RePEc:col:000094:005254
    as

    Download full text from publisher

    File URL: http://www.banrep.gov.co/docum/ftp/borra547.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Campbell, John Y. & Mankiw, N. Gregory, 1991. "The response of consumption to income : A cross-country investigation," European Economic Review, Elsevier, vol. 35(4), pages 723-756, May.
    2. Ligia Melo B. & Juana Téllez C. & Héctor Zárate S., 2006. "El ahorro de los hogares en Colombia," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 24(52), pages 110-161, December.
    3. Zeldes, Stephen P, 1989. "Consumption and Liquidity Constraints: An Empirical Investigation," Journal of Political Economy, University of Chicago Press, vol. 97(2), pages 305-346, April.
    4. Peter N. Ireland, 2005. "The Monetary Transmission Mechanism," Boston College Working Papers in Economics 628, Boston College Department of Economics.
    5. repec:bla:scandj:v:93:y:1991:i:2:p:161-78 is not listed on IDEAS
    6. Andrés Murcia Pabón, 2007. "Determinantes del acceso al crédito de los hogares colombianos," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 25(55), pages 40-83, December.
    7. Reinhart, Carmen M. & Vegh, Carlos A., 1995. "Nominal interest rates, consumption booms, and lack of credibility: A quantitative examination," Journal of Development Economics, Elsevier, vol. 46(2), pages 357-378, April.
    8. Jonathan D. Ostry & Carmen M. Reinhart, 1992. "Private Saving and Terms of Trade Shocks: Evidence from Developing Countries," IMF Staff Papers, Palgrave Macmillan, vol. 39(3), pages 495-517, September.
    9. Alejandro López & Martha Misas & Hugo Oliveros, 1996. "Understanding Consumption in Colombia," Borradores de Economia 058, Banco de la Republica de Colombia.
    10. Deaton, Angus, 1991. "Saving and Liquidity Constraints," Econometrica, Econometric Society, vol. 59(5), pages 1221-1248, September.
    11. Maurice Obstfeld & Kenneth S. Rogoff, 1996. "Foundations of International Macroeconomics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262150476, April.
    12. Finn E. Kydland & Edward C. Prescott, 1996. "The Computational Experiment: An Econometric Tool," Journal of Economic Perspectives, American Economic Association, vol. 10(1), pages 69-85, Winter.
    13. John B. Taylor, 1995. "The Monetary Transmission Mechanism: An Empirical Framework," Journal of Economic Perspectives, American Economic Association, vol. 9(4), pages 11-26, Fall.
    14. Masao Ogaki & Jonathan D. Ostry & Carmen M. Reinhart, 1996. "Saving Behavior in Low- and Middle-Income Developing Countries: A Comparison," IMF Staff Papers, Palgrave Macmillan, vol. 43(1), pages 38-71, March.
    15. Litterman, Robert B, 1983. "A Random Walk, Markov Model for the Distribution of Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(2), pages 169-173, April.
    16. Jonathan D. Ostry & Carmen M. Reinhart, 1992. "Private Saving and Terms of Trade Shocks: Evidence from Developing Countries," IMF Staff Papers, Palgrave Macmillan, vol. 39(3), pages 495-517, September.
    17. Franco Modigliani, 1949. "Fluctuations in the Saving-Income Ratio: A Problem in Economic Forecasting," NBER Chapters, in: Studies in Income and Wealth, Volume 11, pages 369-444, National Bureau of Economic Research, Inc.
    18. Frederic S. Mishkin, 1995. "Symposium on the Monetary Transmission Mechanism," Journal of Economic Perspectives, American Economic Association, vol. 9(4), pages 3-10, Fall.
    19. Juan José Echavarría Soto & Enrique López Enciso & Martha Misas Arango & Juana Téllez Corredor & Juan Carlos Parra Álvarez, 2007. "La Tasa de Interés Natural en Colombia," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 25(54), pages 44-89, June.
    20. Ben S. Bernanke & Mark Gertler, 1995. "Inside the Black Box: The Credit Channel of Monetary Policy Transmission," Journal of Economic Perspectives, American Economic Association, vol. 9(4), pages 27-48, Fall.
    21. Alberto Carrasquilla, 1989. "La Asignación Intertemporal del Consumo en Colombia," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 8(16), pages 67-82, December.
    22. Douglas W. Elmendorf, "undated". "The Effect of Interest-Rate Changes on Household Saving and Consumption: A Survey," Finance and Economics Discussion Series 1996-27, Board of Governors of the Federal Reserve System (U.S.), revised 10 Dec 2019.
    23. Enrique López & Andrés Salamanca, 2009. "El efecto riqueza de la vivienda en Colombia," Coyuntura Económica, Fedesarrollo, December.
    24. Beck, Thorsten & Demirguc-Kunt, Asli & Martinez Peria, Maria Soledad, 2007. "Reaching out: Access to and use of banking services across countries," Journal of Financial Economics, Elsevier, vol. 85(1), pages 234-266, July.
    25. Alejandro Gaviria, 1993. "El ahorro privado y los términos de intercambio: el caso colombiano," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 12(23), pages 37-54, June.
    26. Masao Ogaki & Jonathan D. Ostry & Carmen M. Reinhart, 1996. "Saving Behavior in Low- and Middle-Income Developing Countries: A Comparison," IMF Staff Papers, Palgrave Macmillan, vol. 43(1), pages 38-71, March.
    27. Chow, Gregory C & Lin, An-loh, 1971. "Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 372-375, November.
    28. Martin S. Eichenbaum & Lars Peter Hansen & Kenneth J. Singleton, 1988. "A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice Under Uncertainty," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 103(1), pages 51-78.
    29. Sydney Ludvigson, 1999. "Consumption And Credit: A Model Of Time-Varying Liquidity Constraints," The Review of Economics and Statistics, MIT Press, vol. 81(3), pages 434-447, August.
    30. Juan Nicolás Hernández A, 2006. "Revisión de los determinantes macroeconómicos del consumo total de los hogares para el caso colombiano," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 24(52), pages 80-109, December.
    31. Hall, Robert E, 1988. "Intertemporal Substitution in Consumption," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 339-357, April.
    32. Honohan, Patrick, 2008. "Cross-country variation in household access to financial services," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2493-2500, November.
    33. Christopher Ragan, 2006. "Why Monetary Policy Matters: A Canadian Perspective," Bank of Canada Review, Bank of Canada, vol. 2006(Winter), pages 19-25.
    34. Muellbauer, John, 1994. "The Assessment: Consumer Expenditure," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 10(2), pages 1-41, Summer.
    35. Bacchetta, Philippe & Gerlach, Stefan, 1997. "Consumption and credit constraints: International evidence," Journal of Monetary Economics, Elsevier, vol. 40(2), pages 207-238, October.
    36. Allan H. Meltzer, 1995. "Monetary, Credit and (Other) Transmission Processes: A Monetarist Perspective," Journal of Economic Perspectives, American Economic Association, vol. 9(4), pages 49-72, Fall.
    37. David N. DeJong & Chetan Dave, 2011. "Structural Macroeconometrics Second Edition," Economics Books, Princeton University Press, edition 1, number 9622.
    38. Hansen, Lars Peter & Singleton, Kenneth J, 1982. "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 50(5), pages 1269-1286, September.
    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. Camilo Alvis & Cristian Castrillón, 2013. "Tamano óptimo del gasto público colombiano: una aproximación desde la teoría del crecimiento endógeno," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, December.
    2. Enrique López & Andrés Salamanca, 2009. "El efecto riqueza de la vivienda en Colombia," Coyuntura Económica, Fedesarrollo, December.
    3. Juan David Prada Sarmiento & Luis Eduardo Rojas Dueñas, 2009. "La elasticidad de Frisch y la transmisión de la política monetaria en Colombia," Borradores de Economia 555, Banco de la Republica de Colombia.
    4. Cabrera Valverde, Diana Gisell & Rosero Oliveros, Tania Marcela & Riascos Hermosa, Julio César, 2019. "Principales Determinantes Económicos del Consumo en Colombia 2000 - 2015," Revista Tendencias, Universidad de Narino, vol. 20(1), pages 77-106, January.
    5. Adriana Villamarín García, 2011. "Prevenir y calcular: una estimación de los costos de la violencia homicida en Colombia," Vniversitas Económica, Universidad Javeriana - Bogotá, vol. 0(0), pages 1-55, May.
    6. Restrepo O., Sergio Iván & Martínez R., Luis Esteban & Lopera C., Mauricio, 2011. "Una estimación de los impactos de la tasa de interés en el ciclo económico de Colombia: 1986-2010," Perfil de Coyuntura Económica, Universidad de Antioquia, CIE, issue 18, pages 53-77, December.
    7. Anzoategui Zapata, Juan Camilo, 2014. "Restricción a la liquidez en Colombia [Restriction liquidity Colombia]," MPRA Paper 62043, University Library of Munich, Germany.
    8. Jorge David Quintero Otero, 2015. "Impactos de la política monetaria y canales de transmisión en países de América Latina con esquema de inflación objetivo," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 33(76), pages 61-75, April.
    9. Arango-Thomas, Luis Eduardo & Obando, Nataly & Posada, Carlos Esteban, 2012. "Los salarios reales a lo largo del ciclo económico en Colombia," Chapters, in: Arango-Thomas, Luis Eduardo & Hamann-Salcedo, Franz Alonso (ed.), El mercado de trabajo en Colombia : hechos, tendencias e instituciones, chapter 13, pages 545-585, Banco de la Republica de Colombia.
    10. Mahadeva Lavan, 2014. "Why does natural resource abundance not always lead to better outcomes? Limited financial development versus political impatience," The B.E. Journal of Macroeconomics, De Gruyter, vol. 14(1), pages 341-377, January.
    11. Adriana Villamarin Garcia, 2011. "Prevenir y calcular una estimacion de los costos de la violencia homicida en Colombia," Documentos de CERAC 9108, CERAC -Centro de Recursos para el Análisis de Conflictos.

    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. Julian Thimme, 2017. "Intertemporal Substitution In Consumption: A Literature Review," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 226-257, February.
    2. Luis Zambrano Sequín & Matías Riutort & Rafael Muñoz & Juan Carlos Guevara, 1998. "El ahorro privado en Venezuela: Tendencias y determinantes," Research Department Publications 3021, Inter-American Development Bank, Research Department.
    3. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
    4. Patrick Honohan, 1995. "The Impact of Financial and Fiscal Policies on Saving," Papers WP059, Economic and Social Research Institute (ESRI).
    5. Orazio P. Attanasio, 1998. "Consumption Demand," NBER Working Papers 6466, National Bureau of Economic Research, Inc.
    6. Schmidt-Hebbel, K. & Serven, L., 1997. "Saving Across the World: Puzzles and Policies," World Bank - Discussion Papers 354, World Bank.
    7. Emilio Fernandez-Corugedo, 2004. "Consumption Theory," Handbooks, Centre for Central Banking Studies, Bank of England, number 23, April.
    8. David B. Gross & Nicholas S. Souleles, 2000. "Consumer Response to Changes in Credit Supply: Evidence from Credit Card Data," Center for Financial Institutions Working Papers 00-04, Wharton School Center for Financial Institutions, University of Pennsylvania.
    9. Agenor, Pierre-Richard & Aizenman, Joshua, 2004. "Savings and the terms of trade under borrowing constraints," Journal of International Economics, Elsevier, vol. 63(2), pages 321-340, July.
    10. Tomáš Havránek, 2015. "Measuring Intertemporal Substitution: The Importance Of Method Choices And Selective Reporting," Journal of the European Economic Association, European Economic Association, vol. 13(6), pages 1180-1204, December.
    11. Stijn Claessens & M Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: a survey," BIS Working Papers 676, Bank for International Settlements.
    12. David B. Gross & Nicholas S. Souleles, 2001. "Do Liquidity Constraints and Interest Rates Matter for Consumer Behavior? Evidence from Credit Card Data," NBER Working Papers 8314, National Bureau of Economic Research, Inc.
    13. Einian, Majid & Nili, Masoud, 2016. "Elasticity of Intertemporal Substitution: An Investigation in Iran," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 11(2), pages 207-223, April.
    14. Buffie, Edward F., 1999. "Optimal trade liberalization and the welfare costs of imperfect credibility," Journal of International Economics, Elsevier, vol. 47(2), pages 371-398, April.
    15. Buffie, Edward F, 1999. "Public Sector Wage Cycles and the Co-movement of the Fiscal Deficit and Inflation in Less-Developed Countries," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 31(4), pages 785-810, November.
    16. Kris Jacobs, 2001. "Estimating Nonseparable Preference Specifications for Asset Market Participants," CIRANO Working Papers 2001s-12, CIRANO.
    17. Ogaki, Masao & Park, Joon Y., 1997. "A cointegration approach to estimating preference parameters," Journal of Econometrics, Elsevier, vol. 82(1), pages 107-134.
    18. Martha Misas & Carlos Esteban Posada, 1997. "Determinantes De La Tasa De Ahorro: Una Perspectiva Internacional," Borradores de Economia 2310, Banco de la Republica.
    19. Chowdhury, Abdur, 2015. "Terms of trade shocks and private savings in the developing countries," Journal of Comparative Economics, Elsevier, vol. 43(4), pages 1122-1134.
    20. Sydney Ludvigson & Christina H. Paxson, 2001. "Approximation Bias In Linearized Euler Equations," The Review of Economics and Statistics, MIT Press, vol. 83(2), pages 242-256, May.

    More about this item

    Keywords

    consumo; elasticidad intertemporal de sustitución; restricciones de liquidez; Colombia;
    All these keywords.

    JEL classification:

    • D91 - Microeconomics - - Micro-Based Behavioral Economics - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth

    NEP fields

    This paper has been announced in the following NEP Reports:

    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:col:000094:005254. 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: Clorith Angelica Bahos Olivera (email available below). General contact details of provider: .

    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.