Artículo de revista
SOURCES OF UNCERTAINTY FOR CONDUCTING MONETARY POLICY IN CHILE
Fecha
2008-12Registro en:
ECONOMIA CHILENA Volume: 11 Issue: 3 Pages: 45-80 Published: DEC 2008
0717-3830
Autor
Morandé Lavín, Felipe
Tejada, Mauricio
Institución
Resumen
his m paper m analyzes m the m quantitative m relevance m of m additive, m ultiplicative m and m data
uncertainty in the implementation of Chile’s monetary policy. For the analysis of data
uncertainty we focus on the uncertainty associated with the estimation of the output gap
using real-time data and various well-known methods to estimate the output trend. We
found that the revisions of the output gap are important and persistent and that the
unobserved components method shows a better performance with real-time data than
other more usual ones, like the HP filter. In the case of additive and multiplicative
uncertainties we estimate the equations that govern the behavior of the economy with
time-varying parameters and with state-dependent variances in the shocks of the model.
This allows us to analyze the contribution of these two types of uncertainties on the total
uncertainty. We found that additive uncertainty is the most relevant to explain total
uncertainty and that shocks to the model are state-dependent.