El efecto traspaso de la tasa de interés y la política monetaria en el Perú: 1995-2004
The purpose of this paper is to analyze the “pass-through†from interbank interest rate to market interest rates in domestic currency, and its relationship to Peruvian monetary policy during the period 1995 and 2004. Using an asymmetric and non-linear error correction model, the following hypotheses were tested: (a) the long-run passthrough is not complete; however, it has been raising since the announcement of the official interest rate “corridor†and has been reinforced with the adoption of the “inflation targeting†regime; (b) the market interest rates’ speed of adjustment has increased since the announcement of the official interest rate “corridorâ€; and (c) in the short-run, market interest rates respond asymmetrically when the interbank interest rate increases or decreases. The results favor the proposed hypotheses and suggest that monetary policy in Peru has shown a favorable evolution in terms of its impact on market interest rates, since the announcement of the official interest rate “corridor†and the adoption of the “inflation targeting†regime.
Year of publication: |
2005
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Authors: | Lahura, Erick |
Institutions: | Departamento de Economía, Pontificia Universidad Católica del Perú |
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