We investigate the optimal transmission, interaction and estimation of monetary policy and macroprudential regulation in a dynamic open stochastic general equilibrium model (frictions represented by portfolio adjustment cost) where we compute optimal combinations of macroeconomic policies that can react in the short term to the business cycle and/or the nancial cycle. We nd that the optimal response of monetary policy to the international interest rate implies the use of foreign exchange reserves to reduce the volatility of the real exchange rate, non-tradable output, tradable in ation and the terms of trade. Therefore, the accumulation of foreign exchange reserves is optimal over time. Theoretically, the central bank should use a foreign exchange intervention rule, while the macroprudential regulator should use a countercyclical capital bu er that reacts to the rate of credit growth. Co...

We investigate the optimal transmission, interaction and estimation of monetary policy and macroprudential regulation in a dynamic open stochastic general equilibrium model (frictions represented by portfolio adjustment cost) where we compute optimal combinations of macroeconomic policies that can react in the short term to the business cycle and/or the nancial cycle. We nd that the optimal response of monetary policy to the international interest rate implies the use of foreign exchange reserves to reduce the volatility of the real exchange rate, non-tradable output, tradable in ation and the terms of trade. Therefore, the accumulation of foreign exchange reserves is optimal over time. Theoretically, the central bank should use a foreign exchange intervention rule, while the macroprudential regulator should use a countercyclical capital bu er that reacts to the rate of credit growth. Co...

Este documento evalúa la política monetaria óptima en un modelo nuevo Keynesiano para una economía abierta con fricciones financieras. En el modelo, la demanda agregada está compuesta por el promedio ponderado de las tasas de interés a corto y largo plazo. Se establece un conjunto integral de reglas de política monetaria, todas adecuadas para pequeñas economías abiertas, como Perú. Se encuentra que una regla basada en el pronóstico de inflación doméstica y una regla basada en el tipo de cambio funcionan bien. Además, choques internacionales pueden afectar la competitividad e implican co-movimientos en las tasas de interés domésticas. Finalmente, las estimaciones, sugieren que adicionar el tipo de cambio nominal a la regla monetaria mejora significativamente el ajuste del modelo. En consecuencia, los parámetros estimados indican que los choques internacionales introducido...

Our research used a SVAR to analyze the underlying copper price shocks, that is, a commodity shock for the Junín department in Peru. The results of a short- and long-run SVAR were based on traditional matrix constraints that capture the fact that domestic shocks do not affect international prices. The main conclusion is that before the pandemic a shock in the international price of copper decreases economic growth and inflation in the department of Junín in Peru, after the pandemic the opposite happens. As a result of the model, the short and long-run effects of the international copper price on the main macroeconomic variables of Junín in Peru are statistically significant. Before the pandemic, the dynamics of the international copper price reflected the existence of the curse of mining resources in copper institutions. Before the pandemic, a percentage increase in the international ...