El efecto traspaso de la tasa de interés y la política monetaria en el Perú: 1995-2004
AbstractThe purpose of this paper is to analyze the â€œpass-throughâ€ from interbank interest rate to market interest rates in domestic currency, and its relationship to Peruvian monetary policy during the period 1995 and 2004. Using an asymmetric and non-linear error correction model, the following hypotheses were tested: (a) the long-run passthrough is not complete; however, it has been raising since the announcement of the official interest rate â€œcorridorâ€ and has been reinforced with the adoption of the â€œinflation targetingâ€ regime; (b) the market interest ratesâ€™ speed of adjustment has increased since the announcement of the official interest rate â€œcorridorâ€; and (c) in the short-run, market interest rates respond asymmetrically when the interbank interest rate increases or decreases. The results favor the proposed hypotheses and suggest that monetary policy in Peru has shown a favorable evolution in terms of its impact on market interest rates, since the announcement of the official interest rate â€œcorridorâ€ and the adoption of the â€œinflation targetingâ€ regime.
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.
Bibliographic InfoPaper provided by Departamento de Economía - Pontificia Universidad Católica del Perú in its series Documentos de Trabajo with number 2005-244.
Length: 47 pages
Date of creation: 2005
Date of revision:
Publication status: published
Contact details of provider:
Postal: Av. Universitaria 1801, San Miguel, Lima, Perú
Phone: (511) 626-2000 ext. 4950, 4951
Fax: (511) 626-2874
Web page: http://www.pucp.edu.pe/departamento/economia/
More information through EDIRC
Other versions of this item:
- Lahura, Erick, 2006. "El efecto traspaso de la tasa de interés y la política monetaria en el Perú: 1995-2004," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 13.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Serena Ng & Pierre Perron, 1997.
"Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power,"
Boston College Working Papers in Economics
369, Boston College Department of Economics, revised 01 Sep 2000.
- Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
- Henrik Hansen & Søren Johansen, 1999. "Some tests for parameter constancy in cointegrated VAR-models," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 306-333.
- Boris Hofmann & Paul Mizen, 2004. "Interest Rate Pass-Through and Monetary Transmission: Evidence from Individual Financial Institutions' Retail Rates," Economica, London School of Economics and Political Science, vol. 71, pages 99-123, 02.
- Bredin, Don & Fitzpatrick, Trevor & O'Reilly, Gerard, 2001.
"Retail Interest Rate Pass-Through: The Irish Experience,"
Research Technical Papers
6/RT/01, Central Bank of Ireland.
- Don Bredin & Trevor Fitzpatrick & Gerard O Reilly, 2002. "Retail Interest Rate Pass-Through - The Irish Experience," The Economic and Social Review, Economic and Social Studies, vol. 33(2), pages 223-246.
- Gambacorta, Leonardo, 2005. "Inside the bank lending channel," European Economic Review, Elsevier, vol. 49(7), pages 1737-1759, October.
- Frederic S. Mishkin, 1996. "The Channels of Monetary Transmission: Lessons for Monetary Policy," NBER Working Papers 5464, National Bureau of Economic Research, Inc.
- FFF1Jitka NNN1Rychtarikova, 2004. "The case of the Czech Republic," Demographic Research Special Collections, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 2(5), pages 105-138, April.
- Klemperer, Paul, 1987. "Markets with Consumer Switching Costs," The Quarterly Journal of Economics, MIT Press, vol. 102(2), pages 375-94, May.
- Marco A. Espinosa-Vega & Alessandro Rebucci, 2003.
"Retail Bank Interest Rate Pass-Through: Is Chile Atypical?,"
Working Papers Central Bank of Chile
221, Central Bank of Chile.
- Marco A. Espinosa-Vega & Alessandro Rebucci, 2004. "Retail Bank Interest Rate Pass-through: Is Chile Atypical?," Central Banking, Analysis, and Economic Policies Book Series, in: Luis Antonio Ahumada & J. Rodrigo Fuentes & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Se (ed.), Banking Market Structure and Monetary Policy, edition 1, volume 7, chapter 5, pages 147-182 Central Bank of Chile.
- Alessandro Rebucci & Marco A Espinosa-Vega, 2003. "Retail Bank Interest Rate Pass-Through: Is Chile Atypical?," IMF Working Papers 03/112, International Monetary Fund.
- Disyatat, Piti & Vongsinsirikul, Pinnarat, 2003.
"Monetary policy and the transmission mechanism in Thailand,"
Journal of Asian Economics,
Elsevier, vol. 14(3), pages 389-418, June.
- Piti Disyatat & Pinnarat Wongsinsirikul, 2002. "Monetary Policy and the Transmission Mechanism in Thailand," Working Papers 2002-01, Economic Research Department, Bank of Thailand.
- Kim, Suk-Joong & Lucey, Brian M. & Wu, Eliza, 2006. "Dynamics of bond market integration between established and accession European Union countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(1), pages 41-56, February.
- Sander,Harald & Kleimeier,Stefanie, 2003.
"Convergence in Eurozone retail banking? What interest rate pass-through tells us about monetary policy transmission, competition and integration,"
051, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization.
- Sander, Harald & Kleimeier, Stefanie, 2004. "Convergence in euro-zone retail banking? What interest rate pass-through tells us about monetary policy transmission, competition and integration," Journal of International Money and Finance, Elsevier, vol. 23(3), pages 461-492, April.
- Luis F. Cernadas & E. René Aldazosa, 2011.
"Estimación de una función de reacción para la política monetaria en Bolivia,"
Centro de Estudios Monetarios Latinoamericanos, vol. 0(1), pages 1-36, enero-mar.
- Cernadas, Luis & Aldazosa, René, 2011.
"Estimación de una Función de Reacción para la Política Monetaria en Bolivia
[Estimating a Monetary Policy Reaction Function for Bolivia]," MPRA Paper 40592, University Library of Munich, Germany.
- Cernadas, Luis & Aldazosa, René, 2011. "Estimación de una Función de Reacción para la Política Monetaria en Bolivia
- Adrián Armas & Francisco Grippa, 2008. "Metas de inflación en una economía dolarizada: La experiencia del Perú," Revista de Análisis del BCB, Banco Central de Bolivia, vol. 10(1), pages 7-44, December.
- 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.
- Renzo Rossini & Marco Vega, 2007. "The monetary policy transmission mechanism under financial dollarization: the case of Peru 1996-2006," Working Papers 2007-017, Banco Central de Reserva del Perú.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.