Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/173863 
Year of Publication: 
2017
Series/Report no.: 
IDB Working Paper Series No. IDB-WP-796
Publisher: 
Inter-American Development Bank (IDB), Washington, DC
Abstract: 
This study analyzes the effects of "financial stress" on the Uruguayan macroeconomy in the 1998Q3-2016Q2 period with the underlying idea that financial shocks propagate differently during "normal times" than during times of "stress." This behavior is captured in a multivariate framework through a Markovswitching vector auto regressive (MS-VAR) model. The evidence found so far supports the idea that financial conditions affect the macroeconomy, as they not only change the private investment long-run average growth rate but also directly modify the behavior of monetary policy.
Subjects: 
Switching-regression models
Investment
Financial markets and the macroeconomy
Uruguay
JEL: 
C34
E27
E44
E62
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Working Paper

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