Evolution of the monetary policy in Peru: an empirical application using a mixture innovation TVP-VAR-SV Model

Evolution of the monetary policy in Peru: an empirical application using a mixture innovation TVP-VAR-SV Model

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...

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Bibliographic Details
Main Author: Portilla Goicochea, Jhonatan Josue
Other Authors: Rodríguez Briones, Gabriel Hender
Format: Others
Language:English
Published: Pontificia Universidad Católica del Perú 2021
Subjects:
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
Online Access:http://hdl.handle.net/20.500.12404/17992
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spelling ndltd-PUCP-oai-tesis.pucp.edu.pe-20.500.12404-179922021-01-30T05:14:59Z Evolution of the monetary policy in Peru: an empirical application using a mixture innovation TVP-VAR-SV Model Portilla Goicochea, Jhonatan Josue Rodríguez Briones, Gabriel Hender 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 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. 2021-01-29T00:17:13Z 2021-01-29T00:17:13Z 2020 2021-01-28 info:eu-repo/semantics/bachelorThesis http://hdl.handle.net/20.500.12404/17992 eng info:eu-repo/semantics/openAccess Atribución 2.5 Perú http://creativecommons.org/licenses/by/2.5/pe/ application/pdf Pontificia Universidad Católica del Perú PE Pontificia Universidad Católica del Perú Repositorio de Tesis - PUCP
collection NDLTD
language English
format Others
sources NDLTD
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
spellingShingle 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
Portilla Goicochea, Jhonatan Josue
Evolution of the monetary policy in Peru: an empirical application using a mixture innovation TVP-VAR-SV Model
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.
author2 Rodríguez Briones, Gabriel Hender
author_facet Rodríguez Briones, Gabriel Hender
Portilla Goicochea, Jhonatan Josue
author Portilla Goicochea, Jhonatan Josue
author_sort Portilla Goicochea, Jhonatan Josue
title Evolution of the monetary policy in Peru: an empirical application using a mixture innovation TVP-VAR-SV Model
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
publisher Pontificia Universidad Católica del Perú
publishDate 2021
url http://hdl.handle.net/20.500.12404/17992
work_keys_str_mv AT portillagoicocheajhonatanjosue evolutionofthemonetarypolicyinperuanempiricalapplicationusingamixtureinnovationtvpvarsvmodel
_version_ 1719374612071972864

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