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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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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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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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Nonlinear impact of the conventional monetary policy: A cross-country evidence
(Elsevier B.V., 2025-06-01)
The possibility of non-linear responses to conventional monetary policy interventions has been a subject of ongoing research for a considerable period. However, the existing body of literature largely concentrates on analyzing individual economies or investigates only specific facets of these non-linearities. This paper aims to contribute to the literature and study the nonlinear impact of the conventional monetary policy, in two dimensions: direction and current monetary condition. This is the monetary policy effects depend on the monetary conditions and shock direction. Using a sample of both advanced and emerging economies, we find consistent evidence of asymmetric effectiveness of monetary policy. Initial movements of the policy rate are expected to have the largest effects, in contrast to the following movements in the same direction. Thus, the effectiveness of monetary policy wanes as the monetary stance tightens (i.e., as the policy interest rate rises). Conversely, the efficacy of expansionary monetary policy weakens as the monetary stance loosens (i.e., as the policy interest rate approaches its lower bound).
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Impacts and evolution of monetary policy shocks on macroeconomic fluctuations in Peru using regime-switching VAR models
(Elsevier BV, 2026-08-01)
This paper applies regime-switching VAR models with time-varying parameters and variances to analyze the impact and evolution of monetary policy shocks and their contribution to GDP growth, inflation, and the interest rate in Peru over 1994Q3–2019Q4. The approach offers an alternative and complementary perspective to Pérez Rojo and Rodrıguez (2024). The main findings are: (i) the best-fitting models incorporate regime-switching volatility; (ii) two distinct regimes emerge, coinciding with the adoption of inflation targeting (IT); (iii) the volatility of GDP growth and inflation began to decline in the early 1990s, while interest rate volatility fell sharply after IT implementation; and (iv) prior to IT, monetary policy shocks explained 15%, 30%, and 90% of the long-term forecast error variance decomposition of inflation, GDP growth, and the interest rate, respectively, but their contribution became negligible thereafter. Overall, the results are robust across alternative specifications, underscoring the stabilizing role of IT in Peru’s monetary policy framework.
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Empirical analysis of money demand: Inflation targeting effects and heterogeneous behavior in Pacific Alliance Countries (PAC)
(Economists' Association of Vojvodina, 2025-01-01)
This study aims to estimate a microfounded money demand for Pacific Alliance Countries (PAC) and evaluate whether the elasticities of income, interest rates, inflation expectations, exchange rate, and U.S. rates have changed after the adoption of inflation targeting (IT). As a consequence, we study the role the interest rate has played in these emerging economies under the complementary hypothesis of McKinnon (1973). Furthermore, we analyze the heteregeneous behavior of the demand for money during the IT period using a quantile regression approach. This study suggests that there is statistical evidence that the elasticities of the demand for money have changed after the adoption of IT. Also, the findings indicate that the demand for money has exhibited heterogeneous behavior for all the PAC during the IT period. Generally, interest rate elasticity tends to be smaller in magnitude when real balances are high, while income elasticity demonstrates heterogeneous behavior across countries.
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Decline of Interest Rates under Inflation Targeting and Previous Regimes: Evidence from Latin America and Developed Countries
(Vilnius University, 2025-01-01)
This study empirically investigates the impact of Inflation Targeting (IT) on nominal interest rates over the past 40 years, focusing on 10 advanced and emerging economies. By using a Binary Regime Model embedded within a Backward-Looking Taylor, our findings confirm that IT adoption has significantly contributed to reducing interest rates, with the strongest effects observed in Latin American countries. To reinforce these results, we incorporate Smooth Transition Regression (STR) models, with and without instrumental variables, allowing for a more suitable representation of gradual policy transitions. The STR estimates consistently support our main findings, validating the robustness of the observed impacts. Furthermore, we show that, both before and after IT implementation, central banks display a stronger emphasis on responding to inflation than to the output gap, with this focus intensifying under IT regimes.
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