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Item type:Publication, About the role of monetary aggregates for monetary policy: the case of Peru(Pontificia Universidad Católica del Perú. Centro de Investigaciones Sociológicas, Económicas, Políticas y Antropológicas - CISEPA, 2005)The purpose of this paper is to analyze the relevance of monetary aggregates for monetary policy as indicators of real activity. The main hypothesis of this paper is that narrow monetary aggregates can help forecasting real output. The empirical analysis combines the time scale decomposition of time series using wavelets and the possible existence of cointegrating relationships between money, output and prices. Using recent Peruvian data, evidence is found to support the proposed hypothesis. In particular, the results suggest the existence of co-integration between non-stationary series built using wavelet filtering. In this context, exogeneity tests reveal that narrow monetary aggregates are weakly and strongly exogenous; i.e., they are helpful for forecasting real output. These results suggest that money has a role for monetary policy as an indicator of real activity. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Evaluation of wavelet - based core inflation measures : evidence form Peru(Pontificia Universidad Católica del Perú. Departamento de Economía, 2011)Under inflation targeting and other related monetary policy regimes, the identification of non-transitory inflation and forecasts about future inflation constitute key ingredients for monetary policy decisions. In practice, central banks perform these tasks using so-called core inflation measures”. In this paper we construct alternative core inflation measures using wavelet functions and multiresolution analysis (MRA), and then evaluate their relevance for monetary policy. The construction of wavelet-based core inflation measures (WIMs) is relatively new in the literature and their assessment has not been addressed formally, this paper being the first attempt to perform both tasks for the case of Peru. Another main contribution of this paper is that it proposes two alternative criteria for evaluating core inflation measures: (i) a VAR-based long-run criterion, and (ii) forecast-based criteria. Evidence from Peru shows that WIMs are superior in terms of long-run performance, and that they could improve short-term (up-to-6-months) inflation forecasts. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, The dynamic relationship between stock market development and economic activity: evidence from Perú, 1965-2011(Pontificia Universidad Católica del Perú. Departamento de Economía, 2013)We use real GDP per capita and three standard indicators of stock market development: value traded/GDP, market capitalization/GDP and turnover to study the short-run link between the stock market and economic activity in Peru. Based on annual time series data for the period 1965-2011, we estimate vector autoregressions (VARs) and identify approximate measures of stock market shocks using long-run restrictions. The results can be summarized as follows: (i) stock market indicators contribute to predict real GDP per capita growth only since the early 1990’s; (ii) a stock market shock has signi cant short-run e ects on real GDP per capita; however, its contribution to output dynamics has been small.The results imply that policy actions aimed at further developing the Peruvian stock market do have a signi cant positive impact on the dynamics of economic growth. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Regímenes cambiarios y desempeño macroeconómico: una evaluación de la literatura(Pontificia Universidad Católica del Perú. Departamento de Economía, 2013)This paper provides an assessment of the theoretic and empirical literature about the relationship between exchange rate regimes and macroeconomic performance. The main conclusion is that the distinction between flex and floating regimes seems to be important for developed economies but not for developing countries. In particular, flexible exchange rate regimes seem to be more favourable for an emerging economy than the fi xed regime is, both at the theoretical and empirical level. However, current evidence is not robust to the exchange rate regime classi cation method. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Inversión en infraestructura y demanda turística: una aplicación del enfoque de control sintético para el caso de Kuélap, Perú(Pontificia Universidad Católica del Perú. Departamento de Economía, 2020-07)¿Cuál es el efecto de la inversión en infraestructura sobre la demanda turística? Para responder a esta pregunta, se analiza el caso del Complejo Arqueológico Kuélap, el cual se ha hecho más atractivo y accesible luego de la construcción del primer sistema de telecabinas del Perú y de la reconstrucción del aeropuerto de Jaén. La hipótesis que se plantea es que dicha inversión en infraestructura ha tenido un efecto positivo e importante sobre la demanda turística de Kuélap. Para evaluar la validez de esta hipótesis, se aplica un estudio de caso comparativo en el cual se utiliza un “control sintético” construido a partir de la información de los diferentes sitios arqueológicos del Perú similares a Kuélap. Este control sintético permite estimar cuál hubiera sido la evolución de las visitas a Kuélap si no se hubiera realizado la inversión en infraestructura turística. De esta forma, el efecto causal de dicha inversión es la diferencia entre las visitas observadas y las visitas del control sintético. Los resultados muestran que la inversión en infraestructura turística generó un aumento de aproximadamente 100 por ciento en el número de visitas a Kuélap. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, El coeficiente de correlación y correlaciones espúreas(Pontificia Universidad Católica del Perú. Departamento de Economía, 2003)An important statistical tool for the econometric study of linear bivariate relationship that involves the use of cross-section or time series data is presented and analyzed in this essay: the correlation coefficient. In particular, it is analyzed the relationship between the correlation coefficient and spurious or non-sense correlations. Likewise, empirical applications based on Peruvian data are shown. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, La relación dinero-producto, brecha del producto e inflación subyacente: una introducción a la teoría de wavelets y sus aplicaciones(Pontificia Universidad Católica del Perú. Departamento de Economía, 2004)This paper is intended to introduce the theory of wavelets and some (potential) applications to the empirical analysis of macroeconomic variables and relationships. The basics of wavelets and three applications using Peruvian data are presented for this purpose: (1) an analysis of money-output causal relationship in the sense of Granger, and two proposals of alternatives measures of (2) output gap, and (3) core inflation. The Peruvian evidence supports potential advantages of using wavelets as a compliment of standard econometric techniques for analyzing non-stationary time series. Furthermore, the results are in line with those from investigations using international evidence. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, El efecto traspaso de la tasa de interés y la política monetaria en el Perú: 1995-2004(Pontificia Universidad Católica del Perú. Departamento de Economía, 2005)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 pass-through 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 “corridor”; 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. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Macroeconomía: enfoques y modelos. nuevos ejercicios resueltos: capítulos 10 y 11(Pontificia Universidad Católica del Perú. Departamento de Economía, 2002)The theory of economic policy and the new tendencies on macroeconomics are the two issues, which are illustrated with solved problems in this document. There are exercises on both approaches to economic policy: the traditional and the version based on rules. It is also included exercise related to the new Keynesian macroeconomics, the growth theory and real business cycle. This document is part of Macro 2 course and it is oriented to help the teaching and training in macroeconomics. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Macroeconomía: enfoques y modelos. Nuevos ejercicios resueltos: capítulo 9(Pontificia Universidad Católica del Perú. Departamento de Economía, 2002)This document contains exercises on open macroeconomics. There are several problems related to Mundell-Fleming model, the exchange rate dynamics and overshooting models with rational expectations. Its content is part of Macro 2 course and it is oriented to help the teaching and training in macroeconomics in this university.