Dinero e inflación: el overshooting y el canal del tipo de cambio
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2005
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Pontificia Universidad Católica del Perú. Departamento de Economía
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En este trabajo se extiende el modelo de desbordamiento (“overshooting”) del tipo de cambio de Dornbusch (1976), en dos direcciones En primer lugar, en la línea de Wilson (1979), se asume que el público tiene expectativas racionales, en su versión determinística de previsión perfecta. En este marco, se analizan los efectos de políticas no anticipadas y anticipadas. En segundo lugar, el modelo busca reproducir el hecho estilizado de que, en una economía abierta y con tipo de cambio flexible, el impacto de una expansión monetaria sobre los precios puede ser inmediato, a través de su efecto sobre el tipo de cambio. Para este objetivo, se ha extendido el modelo original de Dornbusch, incorporando la tasa de depreciación del tipo de cambio como un argumento de la Curva de Phillips. En esta extensión se asume que, como en el modelo básico, el ajuste en los precios que se genera por el exceso de demanda en el mercado de bienes, en el corto plazo, es nulo; mientras que el que se genera por el movimiento del tipo de cambio es inmediato.
In this paper we extend the Dornbusch’s model (1976), the overshooting of the exchange rate, in two directions. First, as it was modeled by Wilson (1979), we assume that agents have rational expectations, i.e. perfect foresight in a deterministic model. In this framework, we analyze the effects of unanticipated and anticipated economic policies. Second, this model tries to reproduce the stylized fact that, in an opened economy under a regime of flexible exchange rate, the impact of an expansionary monetary policy over prices can be immediate, through the effect in the exchange rate. With this goal, the Dornbusch’s original model has been extended to take into account the depreciation rate of the exchange rate, as an argument of the Phillip’s Curve. In this extension we assume, as in the basic model, that there is no adjustment in prices due to the excess of demand in the good market, in the short run; while the adjustment that is generated by the movement of the exchange rate is instantaneous.
In this paper we extend the Dornbusch’s model (1976), the overshooting of the exchange rate, in two directions. First, as it was modeled by Wilson (1979), we assume that agents have rational expectations, i.e. perfect foresight in a deterministic model. In this framework, we analyze the effects of unanticipated and anticipated economic policies. Second, this model tries to reproduce the stylized fact that, in an opened economy under a regime of flexible exchange rate, the impact of an expansionary monetary policy over prices can be immediate, through the effect in the exchange rate. With this goal, the Dornbusch’s original model has been extended to take into account the depreciation rate of the exchange rate, as an argument of the Phillip’s Curve. In this extension we assume, as in the basic model, that there is no adjustment in prices due to the excess of demand in the good market, in the short run; while the adjustment that is generated by the movement of the exchange rate is instantaneous.
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Modelos económicos, Tipo de cambio--Perú
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