Evolution of the monetary policy in Peru: an empirical application using a mixture innovation TVP-VAR-SV Model

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This paper investigates the evolution of the monetary policy in Peru between 1996Q1 and 2016Q4 using a mixture innovation time-varying parameter vector autoregressive model with stochastic volatility (TVP-VAR-SV)model proposed by Koopetal.(2009).The main empirical results are:(i)VARcoe¢cients and vo...

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Detalles Bibliográficos
Autor: Portilla Goicochea, Jhonatan Josue
Formato: tesis de grado
Fecha de Publicación:2020
Institución:Pontificia Universidad Católica del Perú
Repositorio:PUCP-Tesis
Lenguaje:inglés
OAI Identifier:oai:tesis.pucp.edu.pe:20.500.12404/17992
Enlace del recurso:http://hdl.handle.net/20.500.12404/17992
Nivel de acceso:acceso abierto
Materia:Política monetaria--Perú
Perú--Condiciones económicas
Estadística bayesiana
Tasas de interés--Perú
Perú--Política económica
https://purl.org/pe-repo/ocde/ford#5.02.01
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dc.title.es_ES.fl_str_mv Evolution of the monetary policy in Peru: an empirical application using a mixture innovation TVP-VAR-SV Model
title Evolution of the monetary policy in Peru: an empirical application using a mixture innovation TVP-VAR-SV Model
spellingShingle Evolution of the monetary policy in Peru: an empirical application using a mixture innovation TVP-VAR-SV Model
Portilla Goicochea, Jhonatan Josue
Política monetaria--Perú
Perú--Condiciones económicas
Estadística bayesiana
Tasas de interés--Perú
Perú--Política económica
https://purl.org/pe-repo/ocde/ford#5.02.01
title_short Evolution of the monetary policy in Peru: an empirical application using a mixture innovation TVP-VAR-SV Model
title_full Evolution of the monetary policy in Peru: an empirical application using a mixture innovation TVP-VAR-SV Model
title_fullStr Evolution of the monetary policy in Peru: an empirical application using a mixture innovation TVP-VAR-SV Model
title_full_unstemmed Evolution of the monetary policy in Peru: an empirical application using a mixture innovation TVP-VAR-SV Model
title_sort Evolution of the monetary policy in Peru: an empirical application using a mixture innovation TVP-VAR-SV Model
author Portilla Goicochea, Jhonatan Josue
author_facet Portilla Goicochea, Jhonatan Josue
author_role author
dc.contributor.advisor.fl_str_mv Rodríguez Briones, Gabriel Hender
dc.contributor.author.fl_str_mv Portilla Goicochea, Jhonatan Josue
dc.subject.es_ES.fl_str_mv Política monetaria--Perú
Perú--Condiciones económicas
Estadística bayesiana
Tasas de interés--Perú
Perú--Política económica
topic Política monetaria--Perú
Perú--Condiciones económicas
Estadística bayesiana
Tasas de interés--Perú
Perú--Política económica
https://purl.org/pe-repo/ocde/ford#5.02.01
dc.subject.ocde.es_ES.fl_str_mv https://purl.org/pe-repo/ocde/ford#5.02.01
description This paper investigates the evolution of the monetary policy in Peru between 1996Q1 and 2016Q4 using a mixture innovation time-varying parameter vector autoregressive model with stochastic volatility (TVP-VAR-SV)model proposed by Koopetal.(2009).The main empirical results are:(i)VARcoe¢cients and volatilities change more gradually than covariance errors overtime;(ii)the volatility of monetary policy shocks is higher during pre-In ation Targeting (IT) regime;(iii)a surprise increase in the interest rate produces GDP growth falls and reduces in ation in the longrun;(iv)the interest rate reacts more quickly against aggregate supply shocks than aggregate demand shocks;(v)monetary policy shocks explain a high percentage of domestic variables during pre-IT regime and then,their contribution decrease during IT-regime.
publishDate 2020
dc.date.created.none.fl_str_mv 2020
dc.date.accessioned.none.fl_str_mv 2021-01-29T00:17:13Z
dc.date.available.none.fl_str_mv 2021-01-29T00:17:13Z
dc.date.issued.fl_str_mv 2021-01-28
dc.type.es_ES.fl_str_mv info:eu-repo/semantics/bachelorThesis
format bachelorThesis
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/20.500.12404/17992
url http://hdl.handle.net/20.500.12404/17992
dc.language.iso.es_ES.fl_str_mv eng
language eng
dc.relation.ispartof.fl_str_mv SUNEDU
dc.rights.es_ES.fl_str_mv info:eu-repo/semantics/openAccess
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eu_rights_str_mv openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by/2.5/pe/
dc.publisher.es_ES.fl_str_mv Pontificia Universidad Católica del Perú
dc.publisher.country.es_ES.fl_str_mv PE
dc.source.none.fl_str_mv reponame:PUCP-Tesis
instname:Pontificia Universidad Católica del Perú
instacron:PUCP
instname_str Pontificia Universidad Católica del Perú
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institution PUCP
reponame_str PUCP-Tesis
collection PUCP-Tesis
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spelling Rodríguez Briones, Gabriel HenderPortilla Goicochea, Jhonatan Josue2021-01-29T00:17:13Z2021-01-29T00:17:13Z20202021-01-28http://hdl.handle.net/20.500.12404/17992This paper investigates the evolution of the monetary policy in Peru between 1996Q1 and 2016Q4 using a mixture innovation time-varying parameter vector autoregressive model with stochastic volatility (TVP-VAR-SV)model proposed by Koopetal.(2009).The main empirical results are:(i)VARcoe¢cients and volatilities change more gradually than covariance errors overtime;(ii)the volatility of monetary policy shocks is higher during pre-In ation Targeting (IT) regime;(iii)a surprise increase in the interest rate produces GDP growth falls and reduces in ation in the longrun;(iv)the interest rate reacts more quickly against aggregate supply shocks than aggregate demand shocks;(v)monetary policy shocks explain a high percentage of domestic variables during pre-IT regime and then,their contribution decrease during IT-regime.engPontificia Universidad Católica del PerúPEinfo:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by/2.5/pe/Política monetaria--PerúPerú--Condiciones económicasEstadística bayesianaTasas de interés--PerúPerú--Política económicahttps://purl.org/pe-repo/ocde/ford#5.02.01Evolution of the monetary policy in Peru: an empirical application using a mixture innovation TVP-VAR-SV Modelinfo:eu-repo/semantics/bachelorThesisreponame:PUCP-Tesisinstname:Pontificia Universidad Católica del Perúinstacron:PUCPSUNEDULicenciado en EconomíaTítulo ProfesionalPontificia Universidad Catolica del Peru. 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Evolution of the monetary policy in Peru: an empirical application using a mixture innovation TVP-VAR-SV Model
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