Evolution of Monetary Policy in Peru: An Empirical Application using a Mixture Innovation TVP-VAR-SV Model
Archivos
Fecha
2020-02
Autores
Título de la revista
ISSN de la revista
Título del volumen
Editor
Pontificia Universidad Católica del Perú. Departamento de Economía
Resumen
This paper discusses the evolution of monetary policy (MP) in Peru in 1996Q1-2016Q4 using a
mixture innovation time-varying parameter vector autoregressive model with stochastic volatility
(TVP-VAR-SV) as proposed by Koop et al. (2009). The main empirical results are: (i) the VAR
coefficients and volatilities change more gradually than the covariance errors over time; (ii) the
volatility of MP shocks was higher under the pre-Inflation Targeting (IT) regime; (iii) a surprise
increase in the interest rate produces GDP growth falls and reduces ináation in the long run; (iv)
the interest rate reacts more quickly to aggregate supply (AS) shocks than to aggregate demand
(AD) shocks; (v) MP shocks explain a high percentage of domestic variable behavior under the
pre-IT regime but their contribution decreases under the IT regime.
Descripción
Documento de trabajo; 485
Palabras clave
Monetary Policy, TVP-VAR-SV, Bayesian Estimation, Mixture Innovation Model, Peruvian Economy
Citación
Colecciones
item.page.endorsement
item.page.review
item.page.supplemented
item.page.referenced
Licencia Creative Commons
Excepto se indique lo contrario, la licencia de este artículo se describe como info:eu-repo/semantics/openAccess