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

  • Lahura, Erick

El propósito del presente trabajo es investigar el efecto traspaso (pass-through) de la tasa de interés interbancaria sobre las tasas de interés en moneda doméstica y su relación con la política monetaria en el Perú, considerando el periodo 1995-2004. Específicamente, se evalúan las siguientes hipótesis: (a) el traspaso de largo plazo es aún incompleto; sin embargo, se ha incrementado luego del anuncio del corredor de tasas de interés de referencia (febrero de 2001) y se ha reforzado con la adopción del esquema de Metas Explícitas de Inflación o MEI (enero de 2002); (b) el anuncio del corredor de tasas de interés por parte del banco central ha incrementado la velocidad de ajuste de las tasas de mercado ante cambios en la tasa de referencia; y (c) en el corto plazo, las tasas de interés de mercado responden asimétricamente cuando la tasa de interés de referencia sube o baja. Las hipótesis fueron evaluadas a través de un modelo de corrección de errores no lineal-asimétrico. Los resultados de las estimaciones muestran evidencia a favor de las hipótesis planteadas. De esta manera, se puede inferir que la política monetaria ha mostrado una evolución favorable en términos de su impacto sobre las tasas de interés de mercado, desde el anuncio del corredor de referencia y la adopción del esquema MEI.

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

Volume (Year): (2006)
Issue (Month): 13 ()

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Handle: RePEc:rbp:esteco:ree-13-01
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