Evolution of the monetary policy in Peru: an empirical application using a mixture innovation TVP-VAR-SV Model

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2021-01-28

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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.

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Política monetaria--Perú, Perú--Condiciones económicas, Estadística bayesiana, Tasas de interés--Perú, Perú--Política económica

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Except where otherwised noted, this item's license is described as info:eu-repo/semantics/openAccess