3. Producción

Browse

Settings

Author: search.filters.author.Lahura, ErickSubject: search.filters.subject.Política monetaria--Perú

Search Results

Now showing 1 - 2 of 2
  • Loading...
    Thumbnail Image
    Some of the metrics are blocked by your 
    consent settings
    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.
  • Loading...
    Thumbnail Image
    Some of the metrics are blocked by your 
    consent 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.