| dc.creator | Portilla, Jhonatan | |
| dc.creator | Rodríguez, Gabriel | |
| dc.date | 2021-05-05T22:13:27Z | |
| dc.date | 2021-05-05T22:13:27Z | |
| dc.date | 2020-02 | |
| dc.date.accessioned | 2023-03-08T23:32:29Z | |
| dc.date.available | 2023-03-08T23:32:29Z | |
| dc.identifier | http://repositorio.pucp.edu.pe/index/handle/123456789/176226 | |
| dc.identifier | http://doi.org/10.18800/2079-8474.0485 | |
| dc.identifier.uri | https://repositorioslatinoamericanos.uchile.cl/handle/2250/5989147 | |
| dc.description | Documento de trabajo; 485 | |
| dc.description | 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. | |
| dc.format | application/pdf | |
| dc.language | eng | |
| dc.publisher | Pontificia Universidad Católica del Perú. Departamento de Economía | |
| dc.publisher | PE | |
| dc.relation | urn:issn:2079-8466 | |
| dc.relation | urn:issn:2079-8474 | |
| dc.rights | Atribución-NoComercial-SinDerivadas 2.5 Perú | |
| dc.rights | info:eu-repo/semantics/openAccess | |
| dc.rights | http://creativecommons.org/licenses/by-nc-nd/2.5/pe/ | |
| dc.subject | Monetary Policy | |
| dc.subject | TVP-VAR-SV | |
| dc.subject | Bayesian Estimation | |
| dc.subject | Mixture Innovation Model | |
| dc.subject | Peruvian Economy | |
| dc.subject | http://purl.org/pe-repo/ocde/ford#5.02.00 | |
| dc.title | Evolution of Monetary Policy in Peru: An Empirical Application using a Mixture Innovation TVP-VAR-SV Model | |
| dc.type | info:eu-repo/semantics/workingPaper | |
| dc.type | Documento de trabajo | |
