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Tendencias comunes y análisis de la política monetaria en el Perú

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  • Winkelried Quezada, Diego

Abstract

Cómo afecta la política monetaria al gasto agregado y a los precios es la pregunta que aborda el presente trabajo. Para ello y tras una revisión de los anteriores estudios sobre canales de transmisión de la política monetaria (anteriores al año 2001), se propone e identifica un modelo de corrección de errores (MCE) que considere a la tasa de interés como el instrumento de política con que el BCRP opera, en lugar de los agregados monetarios que los anteriores estudios consideraban. Los resultados respaldan la existencia de un canal de tasa de interés como mecanismo de acción de la política monetaria; mediante el mismo, se encuentra que un aumento en la tasa de interés doméstica en moneda nacional de 1 por ciento, genera al cabo de un año una disminución de la inflación de entre 0,2 y 0,3 por ciento, así como una desaceleración de la actividad económica (medida como una contracción de la brecha de producto) de entre 0,5 y 0,6 por ciento.

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Bibliographic Info

Article provided by Banco Central de Reserva del Perú in its journal Revista Estudios Económicos.

Volume (Year): (2004)
Issue (Month): 11 ()
Pages:

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Handle: RePEc:rbp:esteco:ree-11-01

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  1. Cushman, David O. & Zha, Tao, 1997. "Identifying monetary policy in a small open economy under flexible exchange rates," Journal of Monetary Economics, Elsevier, vol. 39(3), pages 433-448, August.
  2. Christiano, Lawrence J. & Eichenbaum, Martin & Evans, Charles L., 1999. "Monetary policy shocks: What have we learned and to what end?," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 2, pages 65-148 Elsevier.
  3. Gonzalo, Jesus & Ng, Serena, 2001. "A systematic framework for analyzing the dynamic effects of permanent and transitory shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 25(10), pages 1527-1546, October.
  4. Svensson, Lars E O, 1998. "Open-Economy Inflation Targeting," CEPR Discussion Papers 1989, C.E.P.R. Discussion Papers.
  5. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
  6. Canova, Fabio, 2003. "The Transmission of US Shocks to Latin America," CEPR Discussion Papers 3963, C.E.P.R. Discussion Papers.
  7. Barrera Chaupis, Carlos, 2000. "Mecanismos de transmisión y reglas de política monetaria: la posición de la política monetaria como variable de estado," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 6.
  8. Ben S. Bernanke & Ilian Mihov, 1995. "Measuring Monetary Policy," NBER Working Papers 5145, National Bureau of Economic Research, Inc.
  9. Jacobson, Tor & Jansson, Per & Vredin, Anders & Warne, Anders, 2002. "Identifying the Effects of Monetary Policy Shocks in an Open Economy," Working Paper Series 134, Sveriges Riksbank (Central Bank of Sweden).
  10. Warne, A., 1993. "A Common Trends Model: Identification, Estimation and Inference," Papers 555, Stockholm - International Economic Studies.
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Cited by:
  1. Castillo, Paul & Pérez, Fernando & Tuesta, Vicente, 2011. "Los mecanismos de transmisión de la política monetaria en Perú," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 21, pages 41-63.
  2. Lahura, Erick, 2012. "Measuring the Effects of Monetary Policy Using Market Expectations," Working Papers 2012-005, Banco Central de Reserva del Perú.
  3. Winkelried, Diego, 2013. "Modelo de Proyección Trimestral del BCRP: Actualización y novedades," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 26, pages 9-60.
  4. Renzo Rossini & Marco Vega, 2008. "The monetary policy transmission mechanism under financial dollarisation: the case of Peru 1996-2006," BIS Papers chapters, in: Bank for International Settlements (ed.), Transmission mechanisms for monetary policy in emerging market economies, volume 35, pages 395-412 Bank for International Settlements.
  5. Saki Bigio & Jorge Salas, 2006. "Non-Linear Effects of Monetary Policy and Real Exchange Rate Shocks in Partially Dollarized Economies: An Empirical Study for Peru," Working Papers 2006-008, Banco Central de Reserva del Perú.
  6. Salas, Jorge, 2009. "¿Qué explica las fluctuaciones de la inflación en el Perú en el periodo 2002-2008? Evidencia de un análisis VAR estructural," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 16, pages 9-36.
  7. Lahura, Erick, 2012. "Midiendo los efectos de la política monetaria a través de las expectativas de mercado," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 23, pages 39-52.

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