We investigate the evolution of the impact of monetary policy (MP) shocks in
Peru in 1996Q1-2018Q2 using a set of time-varying parameter vector autoregressive
models with stochastic volatility (TVP-VAR-SV), as proposed by Chan and Eisenstat
(2018). The main results are: (i) the volatilities, intercepts, and contemporaneous
coefficients change more gradually than VAR coefficients over time; (ii) the volatility of
MP shocks falls from 4% to 0.3% on average during the Inflation Targeting (IT) regime;
(iii) in the long run, a contractionary MP shock decreases both gross domestic product
(GDP) growth and inflation by 0.28% and 0.1%, respectively; (iv) the interest rate
reacts faster to aggregate supply shocks than to both aggregate demand shocks and
exchange rate shocks; (v) under the pre-IT regime, MP shocks explain almost 20%,
10%, and 85% of the uncertainty in GDP growth, inflation, and the interest rate,
respectively; and under the IT regime, all these percentages shrink to 1-2%. The
sensitivity analysis confirms the robustness of the main results across various prior
specifications, measures of external and domestic variables, and recursive
identifications. In general, the results show that MP has contributed to diminishing
macroeconomic volatility in Peru.
| Identifer | oai:union.ndltd.org:PUCP/oai:tesis.pucp.edu.pe:20.500.12404/29481 |
| Date | 21 November 2024 |
| Creators | Perez Rojo, Flavio Fernando |
| 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, application/pdf, application/pdf |
| Rights | info:eu-repo/semantics/openAccess, Atribución 2.5 Perú, http://creativecommons.org/licenses/by/2.5/pe/ |
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