Active Interest Rates and Monetary Policy: An Analysis with Individual Banks Data

• Autores: Cermeño, Rodolfo, Dancourt, Oscar, Ganiko, Gustavo, Mendoza, Waldo
• Formato: artículo
• Fecha de Publicación: 2016
• Institución: Pontificia Universidad Católica del Perú
• Repositorio: Revistas - Pontificia Universidad Católica del Perú
• Lenguaje: español
• OAI Identifier: oai:revistaspuc:article/16515
• Enlace del recurso: http://revistas.pucp.edu.pe/index.php/economia/article/view/16515
• Nivel de acceso: acceso abierto
• Materia: transmission mechanism of monetary policy; interest rate cannel; rate of monetary policy; required bank reserves rate; Bernanke-Blinder model

This paper investigates empirically the interest rate channel of the transmission mechanism of the monetary policy in Peru. Using monthly data for the six largest banks for the period June 2003 – June 2010 we study the two main policy instruments used under the inflation-target regime: the rate of monetary policy and the required bank reserves rate. We fit a dynamic panel data model obtaining two fundamental results. First, increases in the rate of monetary policy affectpositively and significantly the interest rates on commercial loans charged by the six largest banks of the country. Second, no evidence is found that the required bank reserves rate on deposits in Peruvian currency