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Inflation, oil price volatility and monetary policy
(Elsevier, 2020-12-01)
In a fully micro-founded New Keynesian framework, we characterize an analytical relationship between average inflation and oil price volatility by solving the rational expectations equilibrium of the model up to second order of accuracy. The model shows that higher oil price volatility induces higher levels of average inflation. We also show that when oil has low substitutability in the production function, the higher the weight the central bank assigns to inflation in the policy rule, the lower the level of average inflation is. The analytical solution further indicates that, for a given level of oil price volatility, average inflation is higher when marginal costs are convex in oil prices, the Phillips Curve is convex, and the degree of relative price dispersion is higher. The evolution of inflation during the 70s and 80s is consistent with the prediction of the model.
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Teaching Modern Macroeconomics in the Traditional Language: The IS-MR-AD-AS Model
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2017-07)
During the last two decades we have witnessed the emergence in the field of intermediate macroeconomics of an extensive literature that seeks to dismiss the traditional IS-LM-AD-AS model and replace it with the New Keynesian option. However, the efforts have not been successful, and currently most macroeconomics textbooks still rely on the traditional model, which is more than 80 years old. In order to help break this inertia, this paper proposes the IS-MR-AD-AS model, a New Keynesian model that allows determining the equilibrium values of production, inflation and the real interest rate. The model differs from the existing ones in two respects. Firstly, in the description of the model, in the graphic and mathematical treatment, and in the use of comparative static as a method to simulate the effects of the exogenous variables on the endogenous ones, the simplicity and elegance of the traditional IS-LM-AD-AS is replicated. Second, in spite of its simplicity, more complex issues can be dealt with, since the general model gives rise to four subsystems with which short-term equilibrium, steady-state equilibrium, transit toward steady-state equilibrium and rational expectations are addressed one at a time. Durante las últimas dos décadas hemos presenciado en el campo de la macroeconomía intermedia la aparición de una amplia literatura que busca desplazar al tradicional modelo IS-LM-AD-AS y reemplazarlo con la opción neokynesiana. Sin embargo, los esfuerzos no han sido exitosos, y actualmente la mayor parte de los textos de macroeconomía aun contienen el modelo tradicional, que ya tiene 80 años de vida. En un intento de romper esa inercia, este artículo propone el modelo IS-MR-AD-AS, un modelo neokeynesiano que permite determinar los valores de equilibrio de la producción, la inflación y la tasa real de interés. El modelo difiere de los existentes en dos aspectos. Primero, en la descripción del modelo, en el tratamiento gráfico y matemático, y en el uso de la estática comparativa como un método para para simular los efectos de las variables exógenas sobre las endógenas, se replica la simplicidad y elegancia del tradicional IS-LM-AD-AS. Segundo, a pesar de su sencillez, con el modelo pueden abordarse temas complejos, dado que el modelo general da lugar a cuatro subsistemas: el del corto plazo, el del equilibrio estacionario, el del tránsito al equilibrio estacionario y el de las expectativas racionales
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The Monetary and Fiscal History of Peru, 1960-2017: Radical Policy Experiments, Inflation and Stabilization
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2018-12)
We show that Peru’s chronic inflation through the 1970s and 1980s was the result of the need for inflationary taxation in a regime of fiscal dominance of monetary policy. Hyperinflation occurred when debt accumulation became unavailable, and a populist administration engaged in a counterproductive policy of price controls and loose credit. We interpret the fiscal difficulties preceding the stabilization as a process of social learning to live within the realities of fiscal budget balance. The credibility of the policy regime change in the 1990s may be linked ultimately to the change in public opinion giving proper incentives to politicians, after the traumatic consequences of the hyperstagflation of 1987–1990.
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Elementos para un programa de estabilización
(Pontificia Universidad Católica del Perú. Departamento de Economía, 1989-07)
El objeto de este trabajo es el de modelar comportamientos de un limitado grupo de variables, relevantes en una aproximación agregada a un fenómeno de extremo deterioro en la evolución de precios y cantidades en el corto plazo. Esto se hace con el objeto de inferir lineamientos básicos para el diseño de un programa de estabilización: este trabajo no pretende construir un modelo de programación financiera desagregado y detallado para la elaboración de políticas macro económicas y sectoriales específicas. The purpose of this paper is to model the behavior of a limited number of variables of relevance to provide an aggregate approach to the extreme degradation of prices and quantities in the short term. The purpose of this analysis is to draw up basic guidelines for designing a stabilization program, though not to build a broken down and detailed financial programming model to design specific macroeconomic and sector policies.
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Evolution of monetary policy in Peru: an empirical application using a mixture innovation TVP-VAR-SV model
(Oxford University Press, 2021-12-15)
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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Asymmetries in the interest rate channel in inflation-targeting Latin American countries
(Elsevier B.V., 2024-11-01)
This paper presents, first, a theoretical model that, by highlighting that commercial banks with market power are able to positively pass on to their clients variations in their costs and, furthermore, that the strength with which they can do so is in turn asymmetrically related to the elasticity of the demand for loans exhibited by those clients, explains the asymmetric empirical findings shortly described. Secondly, it empirically investigates the pass-through of monetary policy rates (MPR) changes into the consumer and commercial loans interest rates set by commercial banks in four Latin American countries with inflation targeting (IT) schemes, namely (in alphabetic order) Brazil, Chile, Colombia, and Peru, over a homogeneous period. To do so, it estimates Non-Linear Auto-Regressive Distributed Lag (NARDL) models for each country. Then, we find two types of important asymmetric responses in the interest rate channel of IT monetary policy. The first is that the long-run response of the consumer loans interest rates following increases in the MPR is greater than that of the commercial loans interest rates. The second is that, in general, when the demand is relatively more elastic (as in the case of commercial loans) then the banks interest rates tend to exhibit a greater response when the central bank lowers the MPR than when it raises it.
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Impact of monetary policy shocks in the Peruvian economy over time
(Elsevier B.V., 2024-12-01)
We investigate the evolution of the impact of monetary policy (MP) shocks in Peru in 1996Q1-2018Q2 using a set of time-varying parameter VAR models with stochastic volatility (TVP-VAR-SV), as proposed by Chan and Eisenstat (2018). The main results are: (i) the volatility of MP shocks falls during the Inflation Targeting (IT) regime; (ii) a contractionary MP shock decreases both GDP growth and inflation within a five quarters time span; (iii) the interest rate reacts faster to aggregate supply shocks than to both aggregate demand shocks and exchange rate shocks; (iv) under the pre-IT regime, MP shocks explain 20%, 10%, and 85% of the uncertainty in GDP growth, inflation, and the interest rate, respectively; and under the IT regime, all these percentages shrink to 1%–2%. The sensitivity analysis confirms the robustness of the main results. In general, the results show that MP has contributed to diminishing macroeconomic volatility in Peru.
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US inflation spillovers to Latin America: persistent post-covid dynamics in inflation connectedness
(RELX Group (Netherlands), 2026-01-01)
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Regional inflation spillovers and monetary policy design
(Elsevier BV, 2026-03-01)
El objetivo de esta investigación es determinar si existe una relación causal entre el nivel socioeconómico (NSE) y el rendimiento académico de los estudiantes escolares en el Perú. Para ello, se utilizó la Evaluación Censal de Estudiantes del año 2019 (E
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Regime-switching, fiscal policy shocks and macroeconomic fluctuations in Peru
(Elsevier BV, 2026-06-01)
Following Chan and Eisenstat (2018a), we use a family of regime-switching models to analyze the evolution of fiscal shocks impacts on Peru’s economic growth from 1995Q1 to 2019Q4. Key findings include: (i) identification of two distinct economic regimes with different macroeconomic fundamentals tied to improvements in fiscal and monetary policy; (ii) enhanced model fit with the inclusion of regime switching volatility (RSV); (iii) a positive trend in the size of spending multipliers, though they remain below unity; (iv) during the 2008 Global Financial Crisis, capital expenditure shocks mitigated the decline in economic growth by 2 percentage points, highlighting their counter-cyclical potential. These findings are corroborated by robustness checks, which include changes in priors, variable reordering, adjustments in external and demand variables, and extending the sample to 2022Q4 to encompass the COVID-19 crisis.
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