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

IF 0.8 4区经济学 Q3 ECONOMICS Cesifo Economic Studies Pub Date : 2022-01-11 DOI:10.1093/cesifo/ifab013

Portilla J, Rodríguez G, Castillo B. P.

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Abstract

This article discusses the evolution of monetary policy (MP) in Peru in 1996Q1–2019Q4 using a mixture innovation time-varying parameter vector autoregressive (VAR) model with stochastic volatility (TVP-VAR-SV) as proposed by Koop, Leon-Gonzales and Strachan. The main empirical results are: (i) the VAR coefficients and volatilities change more gradually than the contemporaneous coefficients 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 gross domestic product (GDP) growth falls and reduces inflation in the long run; (iv) the interest rate reacts more quickly to aggregate supply shocks than to aggregate demand shocks; (v) MP shocks explain a high percentage of domestic variables behavior under the pre-IT regime but their contribution decreases under the IT regime. Overall, these results show that MP has contributed in Peru to lower macroeconomic volatility by (i) reducing average long-term inflation, (ii) increasing the response of GDP growth rate to interest rate, and (iii) by becoming more predictable. (JEL codes: C11, C32, and E52).

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秘鲁货币政策演化:基于混合创新tpv - var - sv模型的实证应用*

摘要本文采用Koop、Leon-Gonzales和Strachan提出的具有随机波动率的混合创新时变参数向量自回归(VAR)模型(TVP-VAR-SV)讨论了1996Q1-2019Q4秘鲁货币政策(MP)的演变。主要的实证结果是:(1)VAR系数和波动率随时间的变化比同期系数的变化更缓慢;(ii)在实行通胀目标制之前，货币政策冲击的波动性更高;(iii)从长远来看，利率的突然上升会导致国内生产总值(GDP)增长下降，并降低通胀;(iv)利率对总供给冲击的反应比对总需求冲击的反应更快;(v)在信息技术前制度下，货币冲击解释了国内变量行为的高比例，但在信息技术制度下，它们的贡献减少了。总体而言，这些结果表明，在秘鲁，MP通过(i)降低平均长期通货膨胀率，(ii)增加GDP增长率对利率的反应，以及(iii)变得更可预测，从而降低了宏观经济波动性。(JEL代码:C11、C32和E52)。

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来源期刊

Cesifo Economic Studies ECONOMICS-

CiteScore

2.70

自引率

7.70%

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期刊介绍： CESifo Economic Studies publishes provocative, high-quality papers in economics, with a particular focus on policy issues. Papers by leading academics are written for a wide and global audience, including those in government, business, and academia. The journal combines theory and empirical research in a style accessible to economists across all specialisations.

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