Second Monetary Policy Research Workshop in Latin America and the Caribbean on Monetary Policy, Uncertainty and the Business Cycle

November 6-7, 2006
Lima, Peru

Organized by the Central Reserve Bank of Peru and the Center for Central Banking Studies (CCBS) of the Bank of England

The main goal of the second Monetary Policy Workshop in Latin America and the Caribbean, on Monetary Policy, Uncertainty and the Business Cycle, is to bring together central bank researchers from Latin America and the Caribbean, as well as from the United Kingdom, Australia, Canada, New Zealand, the United States and the European Central Bank to discuss recent theoretical and empirical work on monetary policy under model, parameter and data uncertainty and, in particular, on the estimation and forecasting strategies for key unobserved variables such as the natural interest rate, the equilibrium real exchange rate and potential output. All these issues are of great relevance for central banks, since uncertainty permanently affect their policy making process.

The program includes two days of presentations and discussion of 16 papers that cover these issues extensively. Professor Thomas Sargent from New York University and Peter Westway, from the Bank of England, will be the key note speakers.

Program

Monday, 6 November

09.00 – 09.15: Welcoming Remarks,

Adrián Armas, Head of the Economic Studies Department, Central Reserve Bank of Peru

Francesco Zanetti, Senior Economist Bank of England

Session 1

Chair: Adrián Armas (Central Reserve Bank of Peru)

09.15 – 10.55: An Estimated General Equilibrium Model with Partial Dollarization: A Bayesian Approach

(See paper) (See presentation)

Paúl Castillo (Central Reserve Bank of Peru)
Carlos Montoro (Central Reserve Bank of Peru)
Vicente Tuesta* (Central Reserve Bank of Peru)¹

Discussant: Simon Potter (Federal Reserve Bank of New York)

An Analysis of Devaluations and Output Dynamics in Latin America using an Estimated DSGE Model

(See paper) (See presentation)

Camilo Tovar (Bank for International Settlements)

Discussant: Matteo Cicarelli (European Central Bank)

10.55 – 11.20: Coffee Break

Session 2

Chair: Vicente Tuesta (Central Reserve Bank of Peru)

11.20 – 13.00: "Disinflation, Uncertainty and Monetary Policy: Evidence from Mexico"

(See presentation)

Ana M. Aguilar* (Central Bank of Mexico)
Manuel Ramos-Francia (Central Bank of Mexico)
Alberto Torres (Central Bank of Mexico)

Discussant: Paúl Castillo (Central Reserve Bank of Peru )

Estimation and Forecasting in Models with Multiple Breaks Simon M. Potter *(Federal Reserve Bank of New York)

(See paper) (See presentation)

Gary Koop (University of Strathclyde)
Discussant: Gabriel Rodriguez (Central Reserve Bank of Peru and University of Ottawa)

13.00 – 14.00: Lunch

Session 3

Chair: Vicente Tuesta (Central Reserve Bank of Peru)

14.00 – 15.40: Is There too Much Certainty When Measuring Uncertainty? A Critique of Econometric Inflation Uncertainty Measures with an Application to Brazil

(See paper) (See presentation)

Tito Nicias * (Bank of Brazil)

Discussant: Gino Olivares (Opportunity Asset Management)

Monetary Policy under Balance Sheet Uncertainty

(See presentation)

Marco Vega* (Central Reserve Bank of Peru)
Saki Bigio (New York University)

Discussant: Camilo Tovar (Bank of International of Settlements)

15.40 –16.00: Coffee Break

Session 4

Chair: Fernando Vásquez (Central Reserve Bank of Peru)

16.00 – 17.40

Monetary Policy, Regime Shifts, and Inflation Uncertainty in Peru (1950-2006)

(See paper) (See presentation)

Paúl Castillo (Central Reserve Bank of Peru)
Alberto Humala* (Central Reserve Bank of Peru)
Vicente Tuesta (Central Reserve Bank of Peru)

Discussant: Tito Nicias (Central Bank of Brazil)

Monetary Policy Under Regime Change and High Volatility

(See presentation)

Sebastian Katz (Central Bank of Argentina)

Discussant: Zenón Quispe (Central Reserve Bank of Peru)

17:40: Welcome cocktail offered by the Central Reserve Bank of Peru

Tuesday 7, November

Session 5

Chair: Jorge Estrella (Central Reserve Bank of Peru)

09.00 – 10.40: Optimal Monetary Policy with Real Time Signal Extraction from the Bond Market

(See paper) (See presentation)

Kristoffer Nimark (Reserve Bank of Australia)

Discussant: Patrice Robitaille (Federal Reserve Board)

Do Political Events Affects Business Cycles? The Maastricht Treaty, the Creation of the ECB and the Euro Economy

(See paper) (See presentation)

Fabio Canova (Pompeu Fabra and CREI) ,
Matteo Ciccarelli* (European Central Bank)
Eva Ortega (European Central Bank)

Discussant: Carlos Montoro (Central Reserve Bank of Peru)

10.40 – 11.10: Coffee Break

Session 6:

Chair: Jorge Estrella (Central Reserve Bank of Peru)

11.10 – 12.50: How do FMOC Actions and the US Macroeconomic Data Announcements Move Brazilian Sovereign Yields and Stock Prices?

(See paper) (See presentation)

Patrice Robitaille* (Federal Reserve Board)
Jennifer Roush (Federal Reserve Board)

Discussant: Francesco Zanetti (Bank of England)

Inflation Premium and Oil Price Uncertainty

(See paper) (See presentation)

Paúl Castillo (Central Reserve Bank of Peru)
Carlos Montoro* (Central Reserve Bank of Peru)
Vicente Tuesta (Central Reserve Bank of Peru)

Discussant: Ana Maria Aguilar (Central Bank of Mexico)

12.50 – 14.30: Lunch

Luncheon Talk: Keynote speech
Chair: (Julio Velarde, Governor, Central Reserve Bank of Peru)

13.30 - 14. 30: “Extracting Information from Asset Prices in an Uncertain World”

Peter Westaway (Bank of England)

Session 7

Chair: Adrián Armas (Central Reserve Bank of Peru)

14.30 – 16.10: Aiming for the Bull´s Eye: Uncertainty and Inertia in Monetary Policy

(See paper) (See presentation)

Maria Demertzis* (De Nederlandsche Bank)
Nicola Viegi (University of KwaZulu-Natal)

Discussant: Kristoffer Nimark (Reserve Bank of Australia)

Lack of Credibility and Disinflation in Colombia

(See paper) (See presentation)

Andrés Gonzalez (Central Bank of Colombia)
Franz Hamann *(Central Bank of Colombia)
Luis Melo (Central Bank of Colombia)

Discussant: Alberto Humala (Central Reserve Bank of Peru)

16.10 – 16.30: Coffee Break

Session 8

Chair: Adrián Armas (Central Reserve Bank of Peru)

16.30 – 18.10: Robustifying Learnability

(See paper) (See presentation)

Robert Tetlow *(Federal Reserve Board)
Peter von Zur Muehlen (Von zur Muehlen & Associates)

Discussant: Nicolleta Batini (International Monetary Fund)

Imperfect Knowledge, Adaptative Learning and the Bias against Activist Monetary Policy

(See paper) (See presentation)

Alberto Locarno (Central Bank of Italy)

Discussant: Marco Vega (Central Reserve Bank of Peru)

18.10 – 18.30: Closing Remarks

(Julio Velarde, Governor, Central Reserve Bank of Peru)

21.00: Closing dinner

Speakers have 30 minutes to present their paper, with 10 minutes for discussants and 10 minutes for general discussion.

Organizers

Mario Blejer,
Director of the CCBS and Adviser to the Governor, Bank of England

Adrián Armas,
Head of the Economic Studies Department, Central Reserve Bank of Peru

Francesco Zanetti,
Senior Economist CCBS, Bank of England

Vicente Tuesta,
Head of the Economic Research Division, Central Reserve Bank of Peru

Paúl Castillo,
Senior Economist, Central Reserve Bank of Peru

---

¹ An *identifies the presenter for papers with more than one author.