Política monetaria y toma de riesgo sistémico: evidencia de un canal no lineal

Autores/as

  • Willebaldo García Gregorio Independent Researcher

Palabras clave:

Riesgo sistémico, Canal de toma de riesgo, Política monetaria, Sistema complejo

Resumen

El riesgo sistémico tiene ciertas propiedades que lo hacen un sistema complejo, una de ellas es la no linealidad. El objetivo de este trabajo es abordar empíricamente la existencia del canal de toma de riesgo sistémico de la política monetaria desde esta perspectiva usando el caso de Estados Unidos y el modelo TVP-VAR con Factor Estructural Aumentado (SFA-TVP-VAR). Con el fin de obtener resultados robustos, estimo este modelo con dos diferentes métricas que representan la postura de política monetaria, con diferentes parámetros y diferentes distribuciones de probabilidad a priori en cada caso. Considerando a las demás variables del sistema como variables latentes, muestro evidencia de un canal complejo: la relación entre la postura de política monetaria y la toma de riesgo sistémico es no lineal y se adapta a las condiciones económicas. Específicamente, la estimación a posteriori muestra que en el largo plazo la política monetaria mantiene una relación inversa con la toma de riesgo sistémico, lo cual indica que una postura laxa aumenta el riesgo sistémico; sin embargo, en el corto plazo, en periodos previos y durante una crisis financiera, un choque restrictivo de política monetaria, en vez de disminuir la toma de riesgo sistémico, lo incrementa.

Clasificación JEL: C30, E44, E52, G00.

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Biografía del autor/a

Willebaldo García Gregorio, Independent Researcher

Independent Researcher

Citas

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2024-09-02

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García Gregorio, W. (2024). Política monetaria y toma de riesgo sistémico: evidencia de un canal no lineal. Análisis Económico, 39(102), 59–84. Recuperado a partir de https://analisiseconomico.azc.uam.mx/index.php/rae/article/view/1191

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