Optimal monetary policy and macroprodential regulation in a DSGE model for Peru

dc.contributor.advisorCastillo Bardalez, Paul Gonzalo
dc.contributor.authorAliaga Miranda, Augusto
dc.date.accessioned2023-09-01T21:39:31Z
dc.date.available2023-09-01T21:39:31Z
dc.date.created2023
dc.date.issued2023-09-01
dc.description.abstractWe 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.es_ES
dc.identifier.urihttp://hdl.handle.net/20.500.12404/25862
dc.language.isospaes_ES
dc.publisherPontificia Universidad Católica del Perúes_ES
dc.publisher.countryPEes_ES
dc.rightsinfo:eu-repo/semantics/openAccesses_ES
dc.rights.urihttp://creativecommons.org/licenses/by/2.5/pe/*
dc.subjectPolítica monetaria--Perúes_ES
dc.subjectMacroeconomía--Perúes_ES
dc.subjectCiclos económicos--Perúes_ES
dc.subject.ocdehttps://purl.org/pe-repo/ocde/ford#5.02.01es_ES
dc.titleOptimal monetary policy and macroprodential regulation in a DSGE model for Perues_ES
dc.typeinfo:eu-repo/semantics/masterThesises_ES
renati.advisor.dni09995165
renati.advisor.orcidhttps://orcid.org/0000-0003-3769-8660es_ES
renati.author.dni70234720
renati.discipline311317es_ES
renati.jurorVega De La Cruz, Marco Antonioes_ES
renati.jurorCastillo Bardalez, Paul Gonzaloes_ES
renati.jurorVega De La Cruz, Hugo Yamiles_ES
renati.levelhttps://purl.org/pe-repo/renati/level#maestroes_ES
renati.typehttps://purl.org/pe-repo/renati/type#tesises_ES
thesis.degree.disciplineEconomíaes_ES
thesis.degree.grantorPontificia Universidad Católica del Perú. Escuela de Posgrado.es_ES
thesis.degree.levelMaestríaes_ES
thesis.degree.nameMaestro en Economíaes_ES

Files

Original bundle

Now showing 1 - 2 of 2
Thumbnail Image
Name:
ALIAGA_MIRANDA_AUGUSTO_OPTIMAL_MONETARY.pdf
Size:
985.71 KB
Format:
Adobe Portable Document Format
Description:
Texto completo y anexos
No Thumbnail Available
Name:
ALIAGA_MIRANDA_AUGUSTO_T.pdf
Size:
7.86 MB
Format:
Adobe Portable Document Format
Description:
Reporte de originalidad

License bundle

Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description:

Collections