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Measuring the Effects of Monetary Policy Using Market Expectations

Author

Listed:
  • Lahura, Erick

    (Banco Central de Reserva del Perú)

Abstract

In order to quantify the effects of monetary policy, this paper employs an alternative empirical measure of monetary policy shocks based on market expectations obtained from media and survey information in Peru. Using monthly data for the period 2003-2011, we use the proposed measure as a variable representing exogenous variation in monetary policy and evaluate its dynamic impact on output and prices. The results show a coherent picture of the effects of monetary policy compared to alternative approaches in terms of both the magnitude and the timing of the effects.

Suggested Citation

  • Lahura, Erick, 2012. "Measuring the Effects of Monetary Policy Using Market Expectations," Working Papers 2012-005, Banco Central de Reserva del Perú.
  • Handle: RePEc:rbp:wpaper:2012-005
    as

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    File URL: http://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2012/documento-de-trabajo-05-2012.pdf
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    References listed on IDEAS

    as
    1. Lastrapes, William D. & Selgin, George, 1995. "The liquidity effect: Identifying short-run interest rate dynamics using long-run restrictions," Journal of Macroeconomics, Elsevier, vol. 17(3), pages 387-404.
    2. Gurkaynak, Refet S. & Sack, Brian T. & Swanson, Eric P., 2007. "Market-Based Measures of Monetary Policy Expectations," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 201-212, April.
    3. Lahura, Erick, 2010. "The Effects Of Monetary Policy Shocks In Peru: Semi-Structural Identification Using A Factor-Augmented Vector Autoregressive Model," Working Papers 2010-008, Banco Central de Reserva del Perú.
    4. Quispe Misaico, Zenón, 2000. "Política monetaria en una economía con dolarización parcial: el caso del Perú," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 6.
    5. Gordon, David B & Leeper, Eric M, 1994. "The Dynamic Impacts of Monetary Policy: An Exercise in Tentative Identification," Journal of Political Economy, University of Chicago Press, vol. 102(6), pages 1228-1247, December.
    6. Eric M. Leeper & Christopher A. Sims & Tao Zha, 1996. "What Does Monetary Policy Do?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 27(2), pages 1-78.
    7. Castillo, Paul & Pérez, Fernando & Tuesta, Vicente, 2011. "Los mecanismos de transmisión de la política monetaria en Perú," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 21, pages 41-63.
    8. Bagliano, Fabio C. & Favero, Carlo A., 1999. "Information from financial markets and VAR measures of monetary policy," European Economic Review, Elsevier, vol. 43(4-6), pages 825-837, April.
    9. Fabio Milani & Francesco Belviso, 2003. "Structural Factor-Augmented VAR (SFAVAR)," Computing in Economics and Finance 2003 278, Society for Computational Economics.
    10. Diego Winkelried Quezada, 2005. "Tendencias comunes y análisis de la política monetaria en el Perú," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(3), pages 279-317, julio-sep.
    11. Rudebusch, Glenn D, 1998. "Do Measures of Monetary Policy in a VAR Make Sense?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 907-931, November.
    12. Vega, Marco & Bigio, Saki & Florian, David & Llosa, Gonzalo & Miller, Shirley & Ramirez-Rondan, Nelson & Rodriguez, Donita & Salas, Jorge & Winkelried, Diego, 2009. "Un modelo semiestructural de proyección para la economía peruana," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 17, pages 51-83.
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    Cited by:

    1. Stylianos X. Koufadakis, 2015. "Asymmetries on Closed End Country Funds Premium and Monetary Policy Announcements: An Approach Trough the Perspective of Foreign Countries," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 65(3-4), pages 29-65, july-Dece.

    More about this item

    Keywords

    Monetary policy shocks; media; survey;

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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