Under inflation targeting and other related monetary policy regimes, the identification of non-transitory in ation and forecasts about future inflation constitute key ingredients for monetary policy decisions. In practice, central banks perform these tasks using so-called "core inflation...

En este documento se realiza una evaluación de la literatura teórica y empírica sobre la relación entre los regímenes cambiarios y el desempeño macroeconómico. La principal conclusión es que la distinción entre regímenes cambiarios fijos y flexibles parece ser importante para...

We explore the causal effect of stock market development on real economic activity in Peru. Based on the predictions of a simple growth model, we estimate vector autoregressive models and identify stock market shocks by imposing long-run restrictions in the dynamic response of real output per...

This paper investigates the empirical relationship between credit and output in Peru. The analysis is based on the estimation of vector error correction models and the identification of structural shocks. The models considered include real output, real credit growth (in domestic currency,...

In order to quantify the effects of monetary policy, this paper employs an alternative empirical measure of monetary policy shocks based on market expectations obtained from media and survey information in Peru. Using monthly data for the period 2003-2011, we use the proposed measure as a...

Se propone una metodología alternativa de identificación de episodios de auge crediticio que incorpora fundamentos económicos. Un episodio de auge crediticio se define como un período durante el cual la trayectoria del nivel de crédito se desvía "en exceso" respecto de su "tendencia",...

El objetivo es analizar empíricamente la relación dinámica entre el sistema bancario y el nivel de actividad real en el Perú. Para tal fin, el análisis se basa en la estimación de vectores autoregresivos (VAR) cointegrados, la aplicación de pruebas de exogeneidad y en la identificación...

The main goal of this paper is to analyze the effects of monetary policy shocks in Peru, taking into account two important issues that have been addressed separately in the VAR literature. The first one is the difficulty to identify the most appropriate indicator of monetary policy stance, which...

In recent years the theoretical and empirical literature has shown a tendency to discard the use of money in monetary policy. This paper provides an empirical evaluation of the relevance of monetary aggregates in the conduct of monetary policy in Peru, a small open and partially dollarized...

El presente trabajo realiza una evaluación empírica recursiva de la relación entre el crédito y el producto usando datos trimestrales de la economía peruana para el período 1992 – 2009. Dada la naturaleza de las series, el análisis econométrico se basa en la estimación de un modelo...