José Sánchez-Fung - Academia.edu (original) (raw)

Papers by José Sánchez-Fung

Monetary Economics in Developing Countries, 2007

The paper models monetary policy in China using a hybrid McCallum-Taylor empirical reaction funct... more The paper models monetary policy in China using a hybrid McCallum-Taylor empirical reaction function. The feedback rule allows for reactions to inflation and output gaps, and to developments in a trade-weighted exchange rate gap measure. The investigation finds that monetary policy in China has, on average, accommodated inflationary developments. But exchange rate shocks do not significantly affect monetary policy behavior, and there is no evidence of a structural break in the estimated reaction function at the end of the strict dollar peg in July 2005. The paper also runs an exercise incorporating survey-based inflation expectations into the policy reaction function and meets with some success. JEL classification codes: E42, E52.

Macroeconomics and Finance in Emerging Market Economies, 2021

Applied Econometrics and International Development, 2003

This paper investigates the central bank's behaviour in a developing economy through a nomina... more This paper investigates the central bank's behaviour in a developing economy through a nominal monetary policy feedback rule (NFR) that embodies an inflation targeting mechanism. Particularly, the Dominican Republic is modelled by allowing the hypothetical NFR to receive feedback from inflation and exchange rate (market and official rates differential) gaps. The findings show that, on average, an 'accommodative' monetary policy was pursued during the period investigated. However, some evidence of monetary tightening in response to adverse developments in the exchange rate indicator is also unveiled.

Ciencia y Sociedad, 1999

El objetivo del presente trabajo es obtener una estimación empírica de la demanda de dinero de la... more El objetivo del presente trabajo es obtener una estimación empírica de la demanda de dinero de largo plazo para el caso de la República Dominicana. Partiendo de una especificación estándar de la función de demanda de dinero, el estudio encuentra una elasticidad ingreso unitaria y una semi elasticidad de menos 0.05 respecto a la tasa de interés. Los resultados de las estimaciones también apuntan hacia la posible existencia de un efecto sustitución de moneda local por extranjera.

This paper estimates a simple, Taylor-type, monetary policy reaction function for the Dominican R... more This paper estimates a simple, Taylor-type, monetary policy reaction function for the Dominican Republic (DR) during the period 1970-98. The estimated long and short run reactions of DR’s monetary authorities can be identified for two distinct time periods. From 1970 to 1984 the authorities did not fully commit themselves to sustain one of their main policy targets, i.e., the official exchange rate. The outcome of such reactions, in part, propitiated the collapse of the exchange rate regime in 1985, and the need to sign a series of stabilisation agreements with the IMF. In contrast, from 1985 to 1998 the authorities’ reactions appear to be more ‘systematic’, which might be attributed to a determination to ‘implicitly’ follow feedback rules, rather than discretion, in monetary policy making.

Proyecto académico sin fines de lucro, desarrollado bajo la iniciativa de acceso abierto

This paper studies the role of monetary and open economy indicators in inflation targeting (IT) e... more This paper studies the role of monetary and open economy indicators in inflation targeting (IT) economies through the analysis of a nested Phillips curve/ P-star model for Chile and Mexico. For Chile a real money gap and a money growth indicator are found to be relevant in predicting deviations of observed from target inflation. In contrast, for Mexico a real exchange rate gap, a standard measure of the real exchange rate, and a money growth indicator are consistently significant as predictors of deviations of actual from (i) expected (in the pre-IT period) and (ii) target inflation (in the post-IT span).

This paper applies the Girton and Roper monetary model of exchange market pressure to the case of... more This paper applies the Girton and Roper monetary model of exchange market pressure to the case of the Dominican Republic’s official exchange rate market. Remarkably, the results indicate a negative relationship between the growth of domestic output and exchange market pressure; i.e. output growth generates an appreciation of the domestic currency, an accumulation of foreign exchange reserves, or a combination of both. In contrast, higher rates of growth of the money multiplier increase exchange market pressure in the Dominican Republic, which implies a depreciation of the domestic currency, a loss of foreign exchange reserves, or a mixture of the two.

Computación Y Sistemas, 2002

Este trabajo aplica el modelo monetario de Girton y Roper [1977. A monetary model of exchange mar... more Este trabajo aplica el modelo monetario de Girton y Roper [1977. A monetary model of exchange market pressure applied to the postwar Canadian experience, American Economic Review, Vol. 67, p. 537-48] para analizar la presion sobre el mercado cambiario oficial en la Republica Dominicana. El modelo describe adecuadamente el comportamiento de ese mercado, explicando la presion cambiaria en el mismo, de una manera razonable.

Research Papers in Economics, 2000

This paper aims at improving our understanding of macro-monetary phenomena in developing countrie... more This paper aims at improving our understanding of macro-monetary phenomena in developing countries. Specifically, it analyses a six-variable model of the Dominican Republic by implementing the cointegrating VAR framework, using annual data for the period 1950-1999. The inquiry is able to identify money demand and PPP cointegrating relationships that are economically and statistically sensible, displaying half-life persistence profiles of approximately one and three years, respectively. Additionally, generalised impulse response functions observed after shocking the money demand relation suggest that there is scope for activist monetary policy, while those derived from perturbations to PPP show that real exchange rate depreciations generate both contractionary and inflationary developments.

Research Papers in Economics, 2008

This paper investigates banking system instability vis-a-vis the day-to-day interbank market and ... more This paper investigates banking system instability vis-a-vis the day-to-day interbank market and monetary policy effectiveness in the Dominican Republic. The analysis reveals a negative relationship among excess banking system reserves and the interbank interest rate, and shows that in crisis 'news' affect the interbank rate's volatility asymmetrically and non-linearly. The paper also finds that the 2002-3003 banking crisis and the subsequent central bank intervention as a lender of last resort weakened monetary policy's transmission mechanism. These events undermined the ensuing stabilization effort, stressing the pervasive short-run trade-off between preserving macroeconomic stability and safeguarding financial stability, and the pitfalls of monetary policymaking in a highly volatility setting.

This paper specifies and estimates a hybrid monetary policy base reaction function for the Domini... more This paper specifies and estimates a hybrid monetary policy base reaction function for the Dominican Republic (DR). The estimated reactions suggest that the Central Bank has been biased towards targeting the gap between the parallel and official exchange rates, apparently doing so in a more systematic fashion after the mid 1980s. Remarkably, these findings are in line with the Central Bank’s long-standing endorsement of a multiple exchange rate regime, and could imply a process of learning, given the monetary authorities’ preferences. JEL Classification: E52, E58, F41

Ciencia, Economía y Negocios, 2020

The paper examines the life-cycle artistic productivity of three leading Latin American photograp... more The paper examines the life-cycle artistic productivity of three leading Latin American photographers of the twentieth century: Manuel Álvarez Bravo (Mexico), Sergio Larraín (Chile), and Sebastião Salgado (Brazil). The analysis constructs narratives using art books and other sources of expert commentary, following the approach in earlier contributions to the economics literature on the subject [David W. Galenson, 2007, Old masters and young geniuses: The two life cycles of artistic creativity, Princeton University Press]. The research identifies Manuel Álvarez Bravo as a ‘conceptual innovator’, a feature that caught the French surrealists’ attention early in his career. In contrast, Sergio Larraín and Sebastião Salgado accomplish their contributions to photography like ‘experimental innovators’. The investigation assembles and evaluates metrics from museum holdings and selected retrospectives to gauge the robustness of the conclusions emerging from the benchmark narratives. The resu...

Macroeconomics and Finance in Emerging Market Economies, 2019

ABSTRACT The paper estimates the relationship between the nominal Treasuries rate and inflation i... more ABSTRACT The paper estimates the relationship between the nominal Treasuries rate and inflation in China. The dynamic econometric analysis yields a preferred, automatically reduced, empirical model revealing a Fisher effect. But the results are sensitive to using different sub-samples encompassed in the decade-and-a-half period following the disassociation of Treasuries from the People’s Bank of China administered interest rates at the end of the 1990s.

Ciencia, Economía y Negocios, 2018

Ciencia, Economía y Negocios, 2017

La investigación estima la relación entre el ingreso agregado y las emisiones de dióxido de carbo... more La investigación estima la relación entre el ingreso agregado y las emisiones de dióxido de carbono para la República Dominicana. El análisis econométrico emplea series estadísticas que abarcan medio siglo y produce evidencia sobre la curva de Kuznets para el medio ambiente natural, mostrando que el nivel de ingreso per cápita anual alrededor del cual las emisiones de dióxido de carbono se estabilizan es US$1,600. Las estimaciones contribuyen con la literatura que sugiere la existencia de una curva de Kuznets más plana y desplazada hacia la izquierda.

Ciencia y Sociedad, 2015

El artículo investiga la Ley de Okun para la República Dominicana durante la segunda mitad del si... more El artículo investiga la Ley de Okun para la República Dominicana durante la segunda mitad del siglo XX y la primera década del XXI. El análisis econométrico estima un coeficiente de Okun implicando que, en promedio, cada 1 porciento de cre-cimiento en el producto real genera una reducción de 0.5 puntos porcentuales en el nivel del desempleo. Pero las estimaciones recursivas revelan que el coeficiente de Okun ha caído en los últimos cuarenta años alcanzando -0.88 en 1966 y registrando -0.5 en 2013. El desplome del coeficiente de Okun y la inercia en el número de trabajadores clasificados fuera de la oferta de trabajo pueden ayudar en la explicación de episodios de “crecimiento sin empleo” observados en la República Dominicana. El análisis también revela que el crecimiento anual promedio del producto real necesario para mantener estable la tasa de desempleo es 4.5%.

Revista de la CEPAL, 2000