Departamento Académico de Economía

URI permanente para esta comunidadhttp://54.81.141.168/handle/123456789/124141

El Departamento de Economía de la Pontificia Universidad Católica del Perú fue creado en agosto de 1969 y desde entonces el equipo de profesores que lo conforman se ha caracterizado tanto por su labor docente como por su dedicación permanente a la investigación de los temas relevantes para la sociedad y la economía peruana.
Ingresa a su web: Departamento de Economía

Explorar

Filtros

20231

Ajustes

Autorsearch.filters.applied.operator.equals: search.filters.author.Rodriguez, GabrielTemasearch.filters.applied.operator.equals: search.filters.subject.Deviance Infor- mation Criterion

Resultados de búsqueda

Mostrando 1 - 1 de 1
  • Miniatura
    ÍtemAcceso Abierto
    Impact of Monetary Policy Shocks in the Peruvian Economy Over Time
    (Pontificia Universidad Católica del Perú. Departamento de Economía, 2023-08) Pérez Rojo, Flavio; Rodriguez, Gabriel
    We investigate the evolution of the impact of monetary policy (MP) shocks in Peru in 1996Q1-2018Q2 using a set of time-varying parameter vector autoregressive models with stochastic volatility (TVP-VAR- SV), as proposed by Chan and Eisenstat (2018). The main results are: (i) the volatilities, intercepts, and contemporaneous coe cients change more gradually than VAR coe cients over time; (ii) the volatility of MP shocks falls from 4% to 0.3% on average during the In ation Targeting (IT) regime; (iii) in the long run, a contractionary MP shock decreases both gross domestic product (GDP) growth and in ation by 0.28% and 0.1%, respectively; (iv) the interest rate reacts faster to aggregate supply shocks than to both aggregate demand shocks and exchange rate shocks; (v) under the pre-IT regime, MP shocks explain almost 20%, 10%, and 85% of the uncertainty in GDP growth, in ation, and the interest rate, respectively; and under the IT regime, all these percentages shrink to 1-2%. The sensitivity analysis con rms the robustness of the main results across various prior speci cations, measures of external and domestic variables, and recursive identi cations. In general, the results show that MP has contributed to diminishing macroeconomic volatility in Peru.