58-vol. 29, núm. 2, julio-diciembre, 2014
Artículos

¿Es factible una unión monetaria para América Latina? Evidencia de los tipos de cambio reales efectivos y los niveles de pass-through de las tasas de interés

pdf

PDF (English)
  • Stephen McKnight,
  • Marco Robles Sánchez
Stephen McKnight
El Colegio de México
Marco Robles Sánchez
Centro de Estudios Monetarios Latinoamericanos
DOI: https://doi.org/10.24201/ee.v29i2.69

Publicado 2014-07-01

Palabras clave

  • unión monetaria,
  • cointegración,
  • causalidad de granger,
  • pass-through de tasa de interés,
  • política monetaria

Cómo citar

McKnight, S., & Robles Sánchez, M. (2014). ¿Es factible una unión monetaria para América Latina? Evidencia de los tipos de cambio reales efectivos y los niveles de pass-through de las tasas de interés. Estudios Económicos De El Colegio De México, 29(2), 225–262. https://doi.org/10.24201/ee.v29i2.69

Métrica

Resumen

Se evalúa la viabilidad de formar una unión monetaria en América Latina. En primer lugar, analizamos los tipos de cambio reales efectivos mediante cointegración y causalidad de Granger, encontramos evidencia que respalda una unión monetaria compuesta por Argentina, Bolivia, Brasil, Chile, Colombia, México y Paraguay. En segundo lugar, se investiga el grado de heterogeneidad en la transmisión de la política monetaria dentro de la unión monetaria hipotética. Se encuentran considerables asimetrías en los niveles de pass-through de las tasas de interés lo que indica la necesidad de reformas sustanciales antes de considerar una unión monetaria en América Latina.

 

pdf

PDF (English)

Descargas

Los datos de descargas todavía no están disponibles.

Citas

  1. Alesina, A., R. Barro and S. Tenreyro. 2002. Optimal currency areas, in M. Gertler and K. Rogoff (eds.) NBER Macroeconomics Annual 2002, vol. 17: 301-356.
  2. Allegret, J. and A. Sand-Zantman. 2009. Does a monetary union protect against external shocks? An assessment of Latin American integration, Journal of Policy Modeling, 31: 102-118.
  3. Bayoumi, T. and B. Eichengreen. 1994. One money or many? Analyzing the prospects for monetary unification in various parts of the world, Princeton Studies in International Finance, No. 76, Princeton University.
  4. Berg, A., E. Borensztein and P. Mauro. 2002. An evaluation of monetary regime options for Latin America, North American Journal of Economics and Finance, 13: 213-235.
  5. Bholla, Z., M. J. Aziakpono and J. Snowball. 2011. How ready is the East African community for monetary union? New evidence from interest rate pass-through analysis, Journal for Studies in Economics and Econometrics, 35: 39-69.
  6. Blanchard, O. J. and D. Quah. 1989. The dynamic effects of aggregate demand and supply disturbances, American Economic Review, 79: 655-673.
  7. Cottarelli, C. and A. Kourelis. 1994. Financial structure, bank lending rates, and the transmission mechanism of monetary policy, IMF Staff Papers, 41: 587-623.
  8. De Bondt, G., B. Mojon and N. Valla. 2005. Term structure and the sluggishness of retail bank interest rates in Euro area countries, ECB Working Paper Series, No. 518, European Central Bank.
  9. Dolado, J. and H. Lütkepohl. 1996. Making Wald tests work for cointegrated VAR systems, Econometric Reviews, 15: 369-386.
  10. Dorrucci, E., S. Firpo, M. Fratzscher and F. Mongelli. 2005. The path of European institutional and economic integration: What lessons for Latin America? Journal of Economic Integration, 20: 217-251.
  11. Edwards, S. 2006. Monetary unions, external shocks and economic performance: A Latin American perspective, International Economics and Economic Policy, 3: 225-247.
  12. Eichengreen, B. 1998. Does Mercosur need a single currency? NBER Working Paper Series, No. 6821, National Bureau of Economic Research.
  13. Enders, W. 2010. Applied Econometric Time Series, Third Edition, New York, John Wiley.
  14. Enders, W. and S. Hurn. 1994. Theory and tests of generalized purchasing-power parity: common trends and real exchange rates in the Pacific Rim, Review of International Economics, 2: 170-190.
  15. Engle, R. F. and C. W. J. Granger. 1987. Co-integration and error correction: Representation, estimation and testing, Econometrica, 55: 251-276.
  16. Foresti, P. 2007. Is Latin America an optimal currency area? Evidence from a structural vector autoregression analysis, (unpublished).
  17. Granger, C. W. J. 1969. Investigating causal relations by econometric models and cross-spectral methods, Econometrica, 37: 424-438.
  18. Granger, C. W. J. 1980. Testing for causality: A personal viewpoint, Journal of Economic Dynamics and Control, 2: 329-352.
  19. Hallwood, P., I. W. Marsh and J. Scheibe. 2006. An assessment of the case for monetary union or official dollarization in five Latin American countries, Emerging Markets Review, 7: 52-66.
  20. Haughton, A. Y. and E. M. Iglesias. 2012. Interest rate volatility, asymmetric interest rate pass through and the monetary transmission mechanism in the Caribbean compared to the US and Asia, Economic Modelling, 29: 2071- 2089.
  21. Hochreiter, E., K. Schmidt-Hebbel and G. Winckler. 2002. Monetary union: European lessons, Latin American prospects, North American Journal of Economics and Finance, 13: 297-321.
  22. Hofstetter, M. 2011. Inflation targeting in Latin America: Toward a monetary union? Economia, 12(1): 71-112.
  23. Johansen, S. 1988. Statistical analysis of cointegrating vectors, Journal of Economic Dynamics and Control, 12: 231-254.
  24. Johansen, S. and K. Juselius. 1990. Maximum likelihood estimation and inference on cointegration - with applications to the demand for money, Oxford Bulletin of Economics of Economics and Statistics, 52: 169-210.
  25. Kennedy, P. 2008. A Guide to Econometrics, Sixth Edition, Cambridge, WileyBlackwell.
  26. Licandro, G. 2000. Is Mercosur an optimal currency area? A shock correlation perspective, Working Paper No. 004-2000, Central Bank of Uruguay.
  27. Louis, R. J., F. Balli and M. Osman. 2012. On the feasibility of monetary union among Gulf Cooperation Council (GCC) countries: Does the symmetry of shocks extend to the non-oil sector? Journal of Economics and Finance, 36: 319-334.
  28. McKinnon, R. I. 1963. Optimum currency areas, American Economic Review, 53: 717-725.
  29. Mundell, R. A. 1961. A theory of optimum currency areas, American Economic Review, 51: 657-665.
  30. Neves, J. A., L. Stocco and S. da Silva. 2008. Is Mercosur an optimum currency area? An assessment using generalized purchasing power parity, Economics Bulletin, 6: 1-13.
  31. Panizza, U., E. Stein and E. Talvi. 2003. Assessing dollarization: An application to Central American and Caribbean Countries, in E. Levy Yeyati and F. Sturzenegger (eds.) Dollarization, Cambridge, MIT Press.
  32. Rosales, O. and M. Kuwayama. 2012. China and Latin America and the Caribbean: Building a Strategic Economic and Trade Relationship, Economic Commission for Latin America and the Caribbean, United Nations.
  33. Sander, H. and S. Kleimeier. 2004. Convergence in Euro-zone retail banking? What interest rate pass-through tells us about monetary policy transmission, competition and integration, Journal of International Money and Finance, 23: 461-492.
  34. Sato, K., Z. Zhang and D. Allen. 2009. The suitability of a monetary union in East Asia: what does the common cycles approach tell? Mathematics and Computers in Simulation, 79: 2927-2937.
  35. Stock, J. and M. Watson. 2002. Introduction to Econometrics, Boston, AddisonWesley.
  36. Sun, W. and G. Simons. 2011. Monetary integration in East Asia: evidence from real effective exchange rates, Review of International Economics, 19: 865-876.
  37. Wang, K. and Y. Lee. 2009. Market volatility and retail interest rate passthrough, Economic Modelling, 26: 1270-1282.