Evolution of Monetary Policy in Peru: An Empirical Application using a Mixture Innovation TVP-VAR-SV Model

Descripción del Articulo

Documento de trabajo; 485
Detalles Bibliográficos
Autores: Portilla, Jhonatan, Rodríguez, Gabriel
Formato: documento de trabajo
Fecha de Publicación:2020
Institución:Pontificia Universidad Católica del Perú
Repositorio:PUCP-Institucional
Lenguaje:inglés
OAI Identifier:oai:repositorio.pucp.edu.pe:20.500.14657/176226
Enlace del recurso:http://repositorio.pucp.edu.pe/index/handle/123456789/176226
http://doi.org/10.18800/2079-8474.0485
Nivel de acceso:acceso abierto
Materia:Monetary Policy
TVP-VAR-SV
Bayesian Estimation
Mixture Innovation Model
Peruvian Economy
http://purl.org/pe-repo/ocde/ford#5.02.00
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dc.title.es_ES.fl_str_mv Evolution of Monetary Policy in Peru: An Empirical Application using a Mixture Innovation TVP-VAR-SV Model
title Evolution of Monetary Policy in Peru: An Empirical Application using a Mixture Innovation TVP-VAR-SV Model
spellingShingle Evolution of Monetary Policy in Peru: An Empirical Application using a Mixture Innovation TVP-VAR-SV Model
Portilla, Jhonatan
Monetary Policy
TVP-VAR-SV
Bayesian Estimation
Mixture Innovation Model
Peruvian Economy
http://purl.org/pe-repo/ocde/ford#5.02.00
title_short Evolution of Monetary Policy in Peru: An Empirical Application using a Mixture Innovation TVP-VAR-SV Model
title_full Evolution of Monetary Policy in Peru: An Empirical Application using a Mixture Innovation TVP-VAR-SV Model
title_fullStr Evolution of Monetary Policy in Peru: An Empirical Application using a Mixture Innovation TVP-VAR-SV Model
title_full_unstemmed Evolution of Monetary Policy in Peru: An Empirical Application using a Mixture Innovation TVP-VAR-SV Model
title_sort Evolution of Monetary Policy in Peru: An Empirical Application using a Mixture Innovation TVP-VAR-SV Model
author Portilla, Jhonatan
author_facet Portilla, Jhonatan
Rodríguez, Gabriel
author_role author
author2 Rodríguez, Gabriel
author2_role author
dc.contributor.author.fl_str_mv Portilla, Jhonatan
Rodríguez, Gabriel
dc.subject.es_ES.fl_str_mv Monetary Policy
TVP-VAR-SV
Bayesian Estimation
Mixture Innovation Model
Peruvian Economy
topic Monetary Policy
TVP-VAR-SV
Bayesian Estimation
Mixture Innovation Model
Peruvian Economy
http://purl.org/pe-repo/ocde/ford#5.02.00
dc.subject.ocde.none.fl_str_mv http://purl.org/pe-repo/ocde/ford#5.02.00
description Documento de trabajo; 485
publishDate 2020
dc.date.accessioned.none.fl_str_mv 2021-05-05T22:13:27Z
dc.date.available.none.fl_str_mv 2021-05-05T22:13:27Z
dc.date.issued.fl_str_mv 2020-02
dc.type.none.fl_str_mv info:eu-repo/semantics/workingPaper
dc.type.other.none.fl_str_mv Documento de trabajo
format workingPaper
dc.identifier.uri.none.fl_str_mv http://repositorio.pucp.edu.pe/index/handle/123456789/176226
dc.identifier.doi.none.fl_str_mv http://doi.org/10.18800/2079-8474.0485
url http://repositorio.pucp.edu.pe/index/handle/123456789/176226
http://doi.org/10.18800/2079-8474.0485
dc.language.iso.es_ES.fl_str_mv eng
language eng
dc.relation.ispartof.none.fl_str_mv urn:issn:2079-8466
urn:issn:2079-8474
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eu_rights_str_mv openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by-nc-nd/2.5/pe/
dc.publisher.es_ES.fl_str_mv Pontificia Universidad Católica del Perú. Departamento de Economía
dc.publisher.country.none.fl_str_mv PE
dc.source.none.fl_str_mv reponame:PUCP-Institucional
instname:Pontificia Universidad Católica del Perú
instacron:PUCP
instname_str Pontificia Universidad Católica del Perú
instacron_str PUCP
institution PUCP
reponame_str PUCP-Institucional
collection PUCP-Institucional
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spelling Portilla, JhonatanRodríguez, Gabriel2021-05-05T22:13:27Z2021-05-05T22:13:27Z2020-02http://repositorio.pucp.edu.pe/index/handle/123456789/176226http://doi.org/10.18800/2079-8474.0485Documento de trabajo; 485This paper discusses the evolution of monetary policy (MP) in Peru in 1996Q1-2016Q4 using a mixture innovation time-varying parameter vector autoregressive model with stochastic volatility (TVP-VAR-SV) as proposed by Koop et al. (2009). The main empirical results are: (i) the VAR coefficients and volatilities change more gradually than the covariance errors over time; (ii) the volatility of MP shocks was higher under the pre-Inflation Targeting (IT) regime; (iii) a surprise increase in the interest rate produces GDP growth falls and reduces ináation in the long run; (iv) the interest rate reacts more quickly to aggregate supply (AS) shocks than to aggregate demand (AD) shocks; (v) MP shocks explain a high percentage of domestic variable behavior under the pre-IT regime but their contribution decreases under the IT regime.engPontificia Universidad Católica del Perú. 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Evolution of Monetary Policy in Peru: An Empirical Application using a Mixture Innovation TVP-VAR-SV Model
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