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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