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dc.contributor.authorRodríguez, Gabriel
dc.contributor.authorCastillo B., Paul
dc.contributor.authorHasegawa, Harumi
dc.description.abstractThis paper assess the role played by the exchange rate and FX intervention in setting monetary policy interest rates in Peru. We estimate a Taylor rule that includes inflation, output gap and the exchange rate using a New Keynesian DSGE model that follows closely Schmitt-Grohé and Uribe (2017). The model is extended to include an explicit sterilized FX intervention rule as in Faltermeier et al. (2017). The main empirical results show, for the pre Inflation Targeting (IT) and IT periods, that the model that clearly outperforms in terms of marginal log density, features a Taylor rule that does not respond to changes in the nominal exchange rate and an active use of FX intervention by the Central Bank. We also find that the coefficient associated with the response of the Taylor rule to inflation is close to 2 and the one associated with the output gap is greater than 1; and that FX intervention has become more responsive to exchange rate fluctuations during the IT period. Finally, the estimated IRFs shows that FX intervention has contributed to reduce the volatility of GDP in response to productivity and terms of trade shocks in Peru.es_ES
dc.publisherPontificia Universidad Católica del Perú. Departamento de Economíaes_ES
dc.rightsAtribución-NoComercial-SinDerivadas 2.5 Perú*
dc.subjectSmall Open Economyes_ES
dc.subjectTaylor Rule; Monetary Policy Rulees_ES
dc.subjectExchange Ratees_ES
dc.subjectBayesian Methodologyes_ES
dc.subjectPeruvian Economyes_ES
dc.subjectFX interventionses_ES
dc.subjectNew Keynesian DSGE Modeles_ES
dc.titleDoes the Central Bank of Peru respond to exchange rate movements? a bayesian estimation of a new keynesian DSGE model with FX interventionses_ES
dc.type.otherDocumento de trabajo

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Atribución-NoComercial-SinDerivadas 2.5 Perú
Except where otherwise noted, this item's license is described as Atribución-NoComercial-SinDerivadas 2.5 Perú