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El efecto traspaso de la tasa de interés y la política monetaria en el Perú: 1995-2004

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  • Erick Lahura

    ()
    (Departamento de Economía- Pontificia Universidad Católica del Perú)

Abstract

The purpose of this paper is to analyze the “pass-through†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 “corridor†and has been reinforced with the adoption of the “inflation targeting†regime; (b) the market interest rates’ speed of adjustment has increased since the announcement of the official interest rate “corridorâ€; 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 “corridor†and the adoption of the “inflation targeting†regime.

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Bibliographic Info

Paper provided by Departamento de Economía - Pontificia Universidad Católica del Perú in its series Documentos de Trabajo with number 2005-244.

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Length: 47 pages
Date of creation: 2005
Date of revision:
Publication status: published
Handle: RePEc:pcp:pucwps:wp00244

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Postal: Av. Universitaria 1801, San Miguel, Lima, Perú
Phone: (511) 626-2000 ext. 4950, 4951
Fax: (511) 626-2874
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Web page: http://www.pucp.edu.pe/departamento/economia/
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  1. 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.
  2. Sander,Harald & Kleimeier,Stefanie, 2003. "Convergence in Eurozone retail banking? What interest rate pass-through tells us about monetary policy transmission, competition and integration," Research Memorandum 051, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  3. 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.
  4. Alessandro Rebucci & Marco A Espinosa-Vega, 2003. "Retail Bank Interest Rate Pass-Through: Is Chile Atypical?," IMF Working Papers 03/112, International Monetary Fund.
  5. Gambacorta, Leonardo, 2005. "Inside the bank lending channel," European Economic Review, Elsevier, vol. 49(7), pages 1737-1759, October.
  6. 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.
  7. 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.
  8. Frederic S. Mishkin, 1996. "The Channels of Monetary Transmission: Lessons for Monetary Policy," NBER Working Papers 5464, National Bureau of Economic Research, Inc.
  9. 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.
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Cited by:
  1. 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.
  2. 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.
  3. Luis F. Cernadas & E. René Aldazosa, 2011. "Estimación de una función de reacción para la política monetaria en Bolivia," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(1), pages 1-36, enero-mar.

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