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.
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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
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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/
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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.
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