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.
| Identifer | oai:union.ndltd.org:PUCP/oai:tesis.pucp.edu.pe:20.500.12404/17992 |
| Date | 28 January 2021 |
| Creators | Portilla Goicochea, Jhonatan Josue |
| Contributors | Rodríguez Briones, Gabriel Hender |
| Publisher | Pontificia Universidad Católica del Perú, PE |
| Source Sets | Pontificia Universidad Católica del Perú |
| Language | English |
| Detected Language | English |
| Type | info:eu-repo/semantics/bachelorThesis |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess, http://creativecommons.org/licenses/by/2.5/pe/ |
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