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Measuring the Effects of Monetary Policy Using Market Expectations

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  • 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
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    References listed on IDEAS

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    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.
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    Cited by:

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    More about this item

    Keywords

    Monetary policy shocks; media; survey;
    All these keywords.

    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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