Exportación Completada — 

Evolution of the exchange rate pass-throught into prices in Peru: an empirical application using TVP-VAR-SV models

Descripción del Articulo

We use a set of VAR models with time-varying parameters and stochastic volatility (TVP-VARSV) to estimate the evolution of the exchange rate pass-through (ERPT) into prices for Peru over 1995Q2-2019Q4. According to two Bayesian selection criteria, the best-fitting models allow most parameters and th...

Descripción completa

Detalles Bibliográficos
Autores: Calero, Roberto, Rodríguez, Gabriel, Salcedo Cisneros, Rodrigo
Formato: documento de trabajo
Fecha de Publicación:2022
Institución:Pontificia Universidad Católica del Perú
Repositorio:PUCP-Institucional
Lenguaje:inglés
OAI Identifier:oai:repositorio.pucp.edu.pe:20.500.14657/184976
Enlace del recurso:https://repositorio.pucp.edu.pe/index/handle/123456789/184976
http://doi.org/10.18800/2079-8474.0510
Nivel de acceso:acceso abierto
Materia:Exchange Rate Pass-Through into Prices
Vector Autoregressive Model with TimeVarying Parameters
Stochastic Volatility, Bayesian Estimation and Comparison of Models
Deviance Information Criterion
Marginal Likelihood
Peruvian Economy
https://purl.org/pe-repo/ocde/ford#5.02.01
Descripción
Sumario:We use a set of VAR models with time-varying parameters and stochastic volatility (TVP-VARSV) to estimate the evolution of the exchange rate pass-through (ERPT) into prices for Peru over 1995Q2-2019Q4. According to two Bayesian selection criteria, the best-fitting models allow most parameters and the variances of shocks to evolve over time. The results are divided into two parts: (i) the ERPTs into import and producer prices decline significantly since the end of the 1990s until 2008. However, since 2014 both ERPTs resurge considerably due to exchange rate depreciation associated with the end of Quantitative Easing (QE), falling commodity prices, and global political events. These findings are in line with recent literature using TVP-VARSV and emphasizing ERTP resurgence after the Global Financial Crisis (GFC); (ii) the ERPT into consumer prices declined steadily throughout the sample. This is in line with the existing literature and is explained by a low-inflation context under an Inflation Targeting (IT) regime and by strong Central Bank credibility. Finally, the results are robust to a set of sensitivity exercises, including changes in the variables associated with the external shock and domestic economic activity, as well as in the values of the priors; and an estimation of the ERPT for Colombia.
Nota importante:
La información contenida en este registro es de entera responsabilidad de la institución que gestiona el repositorio institucional donde esta contenido este documento o set de datos. El CONCYTEC no se hace responsable por los contenidos (publicaciones y/o datos) accesibles a través del Repositorio Nacional Digital de Ciencia, Tecnología e Innovación de Acceso Abierto (ALICIA).