دانلود رایگان مقاله محاسبه شکاف تولید در امور مالی خنثی

Abstract

We compute a measure of the finance-neutral potential output for Colombia, Chile and Mexico. Our methodology is based on Borio et al. (2013, 2014) and incorporates the cycle of credit, house prices and the real exchange rate in the computation of the output gap. The literature on business cycles in emerging market economies, particularly papers focusing on Latin American economies, has highlighted the importance of including shocks to the interest rate in world capital markets together with financial frictions, terms of trade fluctuations, and a procyclical government spending process. Our results show that around the financial crises of the 1990s the finance-neutral output gap behaved differently than the traditional measures observed by policymakers. In particular, gaps are higher before crises and lower after them.

6. Conclusions

It is common practice to include economic information in potential output estimations in order to address the sustainability criterion. This approach has gained favor because it yields meaningful economic and statistical improvements (Borio et al., 2014). However, central banks have shown a preference for potential output estimates that are consistent with stable inflation. In particular, many consider that a good potential output measure should imply a non-accelerating rate of inflation. Following Phelps (1967) and Friedman (1968), most central banks have implemented similar criteria for output gap measurement. Following Borio et al. (2013, 2014), in this paper we perform estimations of the output gaps that take into account the financial cycle (finance-neutral output gaps) for three major Latin American economies (Colombia, Chile and Mexico). We include the real exchange rate and the terms of trade in order to account for external imbalances and not only domestic financial frictions, as we deal with three small open economies that are subject to shocks originating abroad. Studying these countries is important, as they all experienced major financial crises during the 1990s and their recoveries lasted about 5 years. Several studies have shown that the financial crises of the late 1990s in Latin America are associated with both domestic financial imbalances and external shocks related to the crises in Russia, Asia and Brazil. Our contribution to the literature is twofold. First, we estimate finance-neutral output gaps for a set of emerging market economies which have not been studied in the literature. The scarce existing literature focuses on developing and relatively closed economies. To our knowledge, this paper is the first to study Latin American economies. Given their peculiarities, we extend the existing literature by including the real exchange rate and the terms of trade to account for the build-up of external financial imbalances which makes emerging economies more prone to financial crashes. Secondly, we complement the existing literature by showing that taking into account financial factors is a key issue, especially during some periods of time, such as for instance the 1990s in Latin America, after several processes of financial liberalization occurred in these countries.