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-Institucional
Lenguaje:inglés
OAI Identifier:oai:repositorio.pucp.edu.pe:20.500.14657/174668
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
http://purl.org/pe-repo/ocde/ford#5.02.01
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network_name_str PUCP-Institucional
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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 económicahttp://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/bachelorThesisTesis de licenciaturareponame:PUCP-Institucionalinstname:Pontificia Universidad Católica del Perúinstacron:PUCPLicenciado en EconomíaTítulo ProfesionalPontificia Universidad Catolica del Peru. Facultad de Ciencias SocialesEconomía08026677https://orcid.org/0000-0003-1174-964276298835421016Dancourt Masias, Oscar Alfonso BernardoCastillo Bardalez, Paul GonzaloRodriguez Briones, Gabriel Henderhttps://purl.org/pe-repo/renati/level#tituloProfesionalhttp://purl.org/pe-repo/renati/type#tesis20.500.14657/174668oai:repositorio.pucp.edu.pe:20.500.14657/1746682024-07-08 09:15:34.037http://creativecommons.org/licenses/by/2.5/pe/info:eu-repo/semantics/openAccessmetadata.onlyhttps://repositorio.pucp.edu.peRepositorio Institucional de la PUCPrepositorio@pucp.pe
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
http://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
http://purl.org/pe-repo/ocde/ford#5.02.01
dc.subject.ocde.es_ES.fl_str_mv http://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
dc.type.other.none.fl_str_mv Tesis de licenciatura
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.rights.es_ES.fl_str_mv info:eu-repo/semantics/openAccess
dc.rights.uri.*.fl_str_mv http://creativecommons.org/licenses/by/2.5/pe/
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-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
repository.name.fl_str_mv Repositorio Institucional de la PUCP
repository.mail.fl_str_mv repositorio@pucp.pe
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score 13.932913
Evolution of the monetary policy in Peru: an empirical application using a mixture innovation TVP-VAR-SV Model
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