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Title: Evolution of the monetary policy in Peru: an empirical application using a mixture innovation TVP-VAR-SV Model
Advisor(s): Rodríguez Briones, Gabriel Hender
OCDE field: http://purl.org/pe-repo/ocde/ford#5.02.01
Issue Date: 28-Jan-2021
Institution: Pontificia Universidad Católica del Perú
Abstract: This paper investigates the evolution of the monetary policy in Peru between 1996Q1 and 2016Q4 using a mixture innovation time-varying parameter vector autoregressive model with stochastic volatility (TVP-VAR-SV)model proposed by Koopetal.(2009).The main empirical results are:(i)VARcoe¢cients and volatilities change more gradually than covariance errors overtime;(ii)the volatility of monetary policy shocks is higher during pre-In ation Targeting (IT) regime;(iii)a surprise increase in the interest rate produces GDP growth falls and reduces in ation in the longrun;(iv)the interest rate reacts more quickly against aggregate supply shocks than aggregate demand shocks;(v)monetary policy shocks explain a high percentage of domestic variables during pre-IT regime and then,their contribution decrease during IT-regime.
Discipline: Economía
Grade or title grantor: Pontificia Universidad Catolica del Peru. Facultad de Ciencias Sociales
Grade or title: Licenciado en Economía
Juror: Dancourt Masias, Oscar Alfonso Bernardo; Castillo Bardalez, Paul Gonzalo; Rodriguez Briones, Gabriel Hender
Register date: 29-Jan-2021; 29-Jan-2021



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