Bibliographic citations
This is an automatically generated citacion. Modify it if you see fit
Gamarra, F., Pinto, L. (2023). Determinantes de la regla de Taylor aumentada con expectativas de mercado, Perú: 2002-2021 [Universidad Andina del Cusco]. https://hdl.handle.net/20.500.12557/5468
Gamarra, F., Pinto, L. Determinantes de la regla de Taylor aumentada con expectativas de mercado, Perú: 2002-2021 []. PE: Universidad Andina del Cusco; 2023. https://hdl.handle.net/20.500.12557/5468
@misc{renati/1124509,
title = "Determinantes de la regla de Taylor aumentada con expectativas de mercado, Perú: 2002-2021",
author = "Pinto Quillahuaman, Lizeth Mayra",
publisher = "Universidad Andina del Cusco",
year = "2023"
}
Title: Determinantes de la regla de Taylor aumentada con expectativas de mercado, Perú: 2002-2021
Advisor(s): Urrutia Mellado, Benedicta Soledad
Keywords: Inflación; Brecha de producto; Regla de política monetaria
OCDE field: https://purl.org/pe-repo/ocde/ford#5.02.01
Issue Date: 3-Mar-2023
Institution: Universidad Andina del Cusco
Abstract: En los últimos 20 años, el esquema de metas de inflación del BCRP ha permitido, entre otras
cosas, mantener una política monetaria que asegure estabilidad en los precios. Sin embargo,
el año 2021 ha experimentado presión inflacionaria hasta cinco puntos por encima del
promedio anual. Dada esta situación, la presente investigación tiene el objetivo de realizar
una extensión a la Regla de Taylor y estimar la Regla de Taylor aumentada con expectativas
de mercado. Para ello, se utiliza información de indicadores esperados y observados para el
período 2002-2021. La investigación tiene un enfoque cuantitativo, un alcance descriptivo-
correlacional y un diseño no experimental-longitudinal. Se realizo el modelamiento
económico y se estimaron los coeficientes a través del método generalizado de momentos.
Los resultados encuentran que la inflación y la brecha del producto son determinantes de la
Regla de Taylor aumentada con expectativas de mercado en Perú, 2002-2021. Se ha
identificado un coeficiente de 0.35 (p < 0.05) para la inflación, lo que implica que se debe
incrementar la tasa de interés de referencia cuando la inflación observada está por encima
de la inflación objetivo. Asimismo, se ha identificado un coeficiente de 0.09 (p < 0.05) para
la brecha de producto, lo que implica que se debe incrementar la tasa de interés de referencia
cuando el producto está por encima de su nivel de empleo pleno. Por último, se ha encontrado
que ambos indicadores tienen coeficientes estadísticamente significativos en el
modelamiento estadístico realizado con el método generalizado de momentos y R2 altos para
la relación valor esperado – valor observado (con R2 en el rango de 0.3 a 0.77).
In the last 20 years, the BCRP's inflation targeting scheme has made it possible, among other things, to maintain a monetary policy that ensures price stability. However, the year 2021 has experienced inflationary pressure up to five points above the annual average. Given this situation, the present investigation has the objective of making an extension to the Taylor Rule and estimating the Taylor Rule augmented with market expectations. For this, information on expected and observed indicators for the period 2002-2021 is used. The research has a quantitative approach, a descriptive-correlational scope and a non- experimental-longitudinal design. Economic modeling is carried out and the coefficients are estimated through the generalized method of moments. The results find that inflation and the output gap are determinants of the Taylor Rule augmented with market expectations in Peru, 2002-2021. A coefficient of 0.35 (p < 0.05) has been identified for inflation, which implies that the reference interest rate should be increased when observed inflation is above target inflation. Likewise, a coefficient of 0.09 (p < 0.05) has been identified for the output gap, which implies that the reference interest rate must be increased when output is above its full employment level. Finally, it has been found that both indicators have statistically significant coefficients in the statistical modeling carried out with the generalized method of moments and high R2 for the expected value – observed value relationship (with R2 in the range of 0.3 to 0.77).
In the last 20 years, the BCRP's inflation targeting scheme has made it possible, among other things, to maintain a monetary policy that ensures price stability. However, the year 2021 has experienced inflationary pressure up to five points above the annual average. Given this situation, the present investigation has the objective of making an extension to the Taylor Rule and estimating the Taylor Rule augmented with market expectations. For this, information on expected and observed indicators for the period 2002-2021 is used. The research has a quantitative approach, a descriptive-correlational scope and a non- experimental-longitudinal design. Economic modeling is carried out and the coefficients are estimated through the generalized method of moments. The results find that inflation and the output gap are determinants of the Taylor Rule augmented with market expectations in Peru, 2002-2021. A coefficient of 0.35 (p < 0.05) has been identified for inflation, which implies that the reference interest rate should be increased when observed inflation is above target inflation. Likewise, a coefficient of 0.09 (p < 0.05) has been identified for the output gap, which implies that the reference interest rate must be increased when output is above its full employment level. Finally, it has been found that both indicators have statistically significant coefficients in the statistical modeling carried out with the generalized method of moments and high R2 for the expected value – observed value relationship (with R2 in the range of 0.3 to 0.77).
Link to repository: https://hdl.handle.net/20.500.12557/5468
Discipline: Economía
Grade or title grantor: Universidad Andina del Cusco. Facultad de Ciencias Económicas, Administrativas y Contables
Grade or title: Economista
Juror: Flórez Lucana, Ignacio Ramiro; Martínez Rojas, Erick Mijail; Galdos Berrio, Ilberto; Castro Ponce de León, Ricardo
Register date: 24-May-2023
This item is licensed under a Creative Commons License