El efecto traspaso de la tasa de interés y la política monetaria en el Perú: 1995-2004
The 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.
|Date of creation:||2005|
|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://departamento.pucp.edu.pe/economia/
More information through EDIRC
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.:
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Paul Klemperer, 1987. "Markets with Consumer Switching Costs," The Quarterly Journal of Economics, Oxford University Press, vol. 102(2), pages 375-394.
- 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.
- 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.
- Alessandro Rebucci & Marco A Espinosa-Vega, 2003. "Retail Bank Interest Rate Pass-Through; Is Chile Atypical?," IMF Working Papers 03/112, International Monetary Fund.
- Frederic S. Mishkin, 1996. "The Channels of Monetary Transmission: Lessons for Monetary Policy," NBER Working Papers 5464, National Bureau of Economic Research, Inc.
- Gambacorta, Leonardo, 2005. "Inside the bank lending channel," European Economic Review, Elsevier, vol. 49(7), pages 1737-1759, October.
- 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.
- 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.
- 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).
- Rangvid, Jesper, 2001. "Increasing convergence among European stock markets?: A recursive common stochastic trends analysis," Economics Letters, Elsevier, vol. 71(3), pages 383-389, June.
- 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.
- 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. Full references (including those not matched with items on IDEAS)