Impactos sectoriales de la política monetaria en el Perú: evidencia empírica a partir de un modelo FAVAR
Date
2023-10-06
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Pontificia Universidad Católica del Perú
Abstract
En este documento se cuantifica el impacto sectorial de la política monetaria en el Perú
utilizando un modelo de vectores autorregresivos con factores aumentados (FAVAR)
para el periodo 2003-2018 en un conjunto de setenta y ocho variables. Los resultados
muestran que existe un impacto diferenciado de la política monetaria sobre los diferentes
sectores de la economía en magnitud y horizonte temporal, siendo los sectores
electricidad y agua, manufacturas y comercio los más sensibles a choques de política
monetaria, pues un aumento de 100 puntos básicos de la tasa de interés de política
monetaria genera una reducción en el PBI de estos sectores de 14.1, 13.7 y 10.5 puntos
básicos, respectivamente. Adicionalmente, la descomposición de varianza muestra
que los choques de política monetaria han tenido una baja contribución en el comportamiento
de las variables económicas del Perú en el periodo de estudio.
This document quantifies the sectoral impact of monetary policy in Peru using a Factor - Augmented Vector Autoregressive Model (FAVAR) for the period 2003-2018 in a set of seventy-eight variables. The results show that there is a differentiated effect of monetary policy on the different sectors of the economy in magnitude and time horizon, being the sectors electricity and water, manufacturing, and trade sectors the most sensitive to monetary policy shocks since an increase in 100 basis points of the monetary policy interest rate generates a reduction in the GDP of these sectors of 14.1, 13.7 and 10.5 basis points, respectively. Additionally, the variance decomposition shows that monetary policy shocks have had a low contribution to the behavior of Peru’s economic variables in the study period.
This document quantifies the sectoral impact of monetary policy in Peru using a Factor - Augmented Vector Autoregressive Model (FAVAR) for the period 2003-2018 in a set of seventy-eight variables. The results show that there is a differentiated effect of monetary policy on the different sectors of the economy in magnitude and time horizon, being the sectors electricity and water, manufacturing, and trade sectors the most sensitive to monetary policy shocks since an increase in 100 basis points of the monetary policy interest rate generates a reduction in the GDP of these sectors of 14.1, 13.7 and 10.5 basis points, respectively. Additionally, the variance decomposition shows that monetary policy shocks have had a low contribution to the behavior of Peru’s economic variables in the study period.
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Keywords
Política monetaria--Perú, Industrias--Perú, Perú--Condiciones económicas
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