Regime shifts and inflation uncertainty in Peru
AbstractThe link between inflation and inflation uncertainty is evaluated using Peruvian data, in a context of changing monetary policies because of regime shifts. A Markov regime-switching heteroskedasticity model that includes unobserved components is used. The model shows how periods of high (low) inflation accompany periods of high (low) short- and long-run uncertainty in inflation. The results of the model also illustrate how, during the recent period of price stability in Peru, both permanent and transitory shocks in inflation show a decrease in volatility. Finally, a time-varying measure of inflation uncertainty is derived from the estimates, giving additional evidence on the positive link between the level of inflation and its uncertainty.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Universidad del CEMA in its journal Journal of Applied Economics.
Volume (Year): XV (2012)
Issue (Month): (May)
Contact details of provider:
Postal: Av. Córdoba 374, (C1054AAP) Capital Federal
Phone: (5411) 6314-3000
Fax: (5411) 4314-1654
Web page: http://www.cema.edu.ar/publicaciones/jae.html
More information through EDIRC
inflation dynamics; monetary policy; Markov-switching models; unobserved components models; stochastic trends;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Paul Castillo & Carlos Montoro & Vicente Tuesta, 2013.
"An Estimated Stochastic General Equilibrium Model with Partial Dollarization: A Bayesian Approach,"
Open Economies Review,
Springer, vol. 24(2), pages 217-265, April.
- Paul Castillo & Carlos Montoro & Vicente Tuesta, 2006. "An Estimated Stochastic General Equilibrium Model with Partial Dollarization: A Bayesian Approach," Working Papers Central Bank of Chile 381, Central Bank of Chile.
- Tuesta Vicente, 2007. "Independencia Legal y Efectiva del Banco Central de Reserva del Perú," Working Papers 2007-012, Banco Central de Reserva del Perú.
- Maertens Odria, Luís Ricardo & Castillo, Paul & Rodriguez, Gabriel, 2012.
"Does the exchange rate pass-through into prices change when inflation targeting is adopted? The Peruvian case study between 1994 and 2007,"
Journal of Macroeconomics,
Elsevier, vol. 34(4), pages 1154-1166.
- Paul Castillo & Luis Maertens Odria & Gabriel Rodríguez, 2011. "Does The Exchange Rate Pass-Through Into Prices Change When Inflation Targeting Is Adopted? The Peruvian Case Study Between 1994 And 2007," Documentos de Trabajo 2011-314, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Daniel Barráez & Carolina Pagliacci, 2008. "Identificación de segmentos de precios en el mercado de fondos overnigth usando modelos ocultos de Markov," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(3), pages 339-359, julio-sep.
- Manfred Esquivel Monge, 2008. "Histéresis en dolarización: evidencias de la economía costarricense," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(3), pages 361-403, julio-sep.
- James J. Heckman, 2008. "Causalidad econométrica," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(3), pages 291-338, julio-sep.
- Alberto Humala, 2008. "South American disinflation and regime switches: unobserved volatility components?," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(3), pages 405-425, julio-sep.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Valeria Dowding).
If references are entirely missing, you can add them using this form.