Resumo

BARCENAS, Luis Arturo; CHIRINOS, Ana María  e  PAGLIACCI, Carolina. Trasmisión de choques macroeconómicos en Venezuela. Un enfoque estructural del modelo factorial. El trimestre econ [online]. 2013, vol.80, n.320, pp.903-942. ISSN 2448-718X.

This paper identifies and analyses the fundamental structural shocks that have explained the short run fluctuations of the Venezuelan economy in its recent history. For this purpose, we estimate a dynamic factor model (GDFM) with a panel of 115 variables and evaluate the effects of a monetary policy, a fiscal policy and an oil shock on their common component. These shocks are identified with the sign restriction methodology recently developed in the Structural VAR literature. We find that a monetary policy shock is not effective to modify economic activity, while an expansionary fiscal shock, financed with domestic debt, can increase household consumption and construction services, without affecting the aggregate production of the economy. Finally, an expansionary oil shock behaves identically as a positive aggregate supply shock.

Palavras-chave : fluctuaciones macroeconómicas; política monetaria; política fiscal; modelo factorial dinámico structural; restricciones de signo.