Política monetaria óptima bajo inestabilidad financiera en economías emergentes

Abstract

This paper studies the optimality of different Taylor rules when facing a financial risk shock using a DSGE model for a small open economy. The rules are optimal insofar as the parameters minimize an ad-hoc loss function through a grid search. The results show that incorporating a response to bank credit in the Taylor rule generates non-significant reductions in macroeconomic volatility. However, introducing a macroprudential rule does significantly reduce social loss, without the need for the interest rate to respond to financial conditions, and being close to five times more efficient in terms of macroeconomic stability. These results are robust to the nature of the macroprudential rule, the persistence of the risk shock, the preferences of the central bank and wage flexibility.