Portilla, JhonatanRodríguez, Gabriel2021-05-052021-05-052020-02http://repositorio.pucp.edu.pe/index/handle/123456789/176226Documento de trabajo; 485This 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.enginfo:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by-nc-nd/2.5/pe/Monetary PolicyTVP-VAR-SVBayesian EstimationMixture Innovation ModelPeruvian Economyinfo:eu-repo/semantics/workingPaperhttp://purl.org/pe-repo/ocde/ford#5.02.00http://doi.org/10.18800/2079-8474.0485