Carlos Pateiro-Rodríguez

¿Son asimétricas las reacciones de política monetaria de un banco central? El caso del BCE

Una gran parte de los bancos centrales adopta sus decisiones conforme a determinados objetivos,fundamentalmente de inflacion y crecimiento economico. La pregunta que nos hacemos es sison igual de intensas las reacciones de esos institutos centrales cuando las desviaciones respectoa los objetivos senalados son positivas, en comparacion con el caso en que sean negativas, osi, por el contrario, las reacciones son asimetricas. Para responder a esta cuestion, con base enlos planteamientos taylorianos de la funcion de reaccion de politica monetaria, analizamos lasposibles causas de comportamientos asimetricos y establecemos una metodologia para determinarsi las decisiones de un banco central han sido asimetricas, o no. Empiricamente, analizamosel caso del Banco Central Europeo (BCE), para concluir que en el caso de este no es posibleafirmar que haya reaccionado asimetricamente en el periodo1999-2008.

The role of the enhanced carry to risk on currency policy: the Mexican Peso

ABSTRACT One of the most common measures of carry trade attractiveness is the carry-to-risk ratio. On analysing the speculative activity, this ratio presents two issues: First, emerging market currencies could merit a legitimate risk premium in a carry trade strategy due to the sovereign risks involved. In order to correct the measure, we include the credit risk in the measure using credit default swaps. Second, we gather more information about potential volatility asymmetries including a directional speculation indicator known as the risk reversal. We prove that the enhanced measure for the Mexican peso (MXN) is well represented by an ARIMA model with appropriate features since 2009. Due to the output of the analysis, we deduce that the Bank of Mexico might use this measure or a similar indicator, not only to understand the attractiveness of the carry trade strategy but to curb destabilizing carry trade activities. The case is compelling for the Mexican peso due to its dual role as emerging market currency and full convertible currency. We conclude that this institution may effectively manage the enhanced carry-to-risk measures in order to achieve financial stability and proper exchange credibility, and recognize its potential utility for other central banks.

Inflation Targeting: Evidence for Latin America (1999-2015)

In this paper, we discuss the management of monetary policy of the Latin American central banks that have fully established inflation targeting. An optimal monetary rule is estimated for these economies using the Generalized Method of Moments. This analysis allows us to conclude that these central banks have taken into account the economic growth, in addition to price stability. However, only Chile has taken into account the evolution of the exchange rate. Furthermore, Chile, Brazil and Peru have followed an asymmetric behavior, while Colombia and Mexico have adopted a linear monetary policy rule.