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Title: Optimal monetary policy and macroprodential regulation in a DSGE model for Peru
Advisor(s): Castillo Bardalez, Paul Gonzalo
OCDE field: https://purl.org/pe-repo/ocde/ford#5.02.01
Issue Date: 1-Sep-2023
Institution: Pontificia Universidad Católica del Perú
Abstract: We investigate the optimal transmission, interaction and estimation of monetary policy and macroprudential regulation in a dynamic open stochastic general equilibrium model (frictions represented by portfolio adjustment cost) where we compute optimal combinations of macroeconomic policies that can react in the short term to the business cycle and/or the nancial cycle. We nd that the optimal response of monetary policy to the international interest rate implies the use of foreign exchange reserves to reduce the volatility of the real exchange rate, non-tradable output, tradable in ation and the terms of trade. Therefore, the accumulation of foreign exchange reserves is optimal over time. Theoretically, the central bank should use a foreign exchange intervention rule, while the macroprudential regulator should use a countercyclical capital bu er that reacts to the rate of credit growth. Consequently, there are welfare gains from coordinating both policies. The model is estimated using Bayesian techniques for the Peruvian economy and shows that a model with a forward looking Taylor rule and a foreign exchange intervention rule that reacts strongly to changes in the real exchange rate best ts the observed sample.
Discipline: Economía
Grade or title grantor: Pontificia Universidad Católica del Perú. Escuela de Posgrado.
Grade or title: Maestro en Economía
Juror: Vega De La Cruz, Marco Antonio; Castillo Bardalez, Paul Gonzalo; Vega De La Cruz, Hugo Yamil
Register date: 1-Sep-2023; 1-Sep-2023



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