3. Producción
Browse
4 results
Search Results
- Some of the metrics are blocked by yourconsent settings
Item type:Publication, Evolution of the exchange rate pass-through into prices in Peru: An empirical application using TVP-VAR-SV models(Elsevier Ltd, 2024-04-01)This study examines the evolution of exchange rate pass-through (ERPT) into import, producer, and consumer prices in Peru from 1995Q2 to 2022Q4 using time-varying parameter and stochastic volatility VAR models. Findings reveal a resurgence of ERPTs into import and producer prices since 2009, particularly during the period of a strong US dollar following the 2013 taper tantrum and from 2020 to 2022. Increased uncertainty surrounding the exchange rate and future macroeconomic policies, triggered by the political uncertainty following the 2021 general elections, may have contributed to this trend. Short-term ERPT exceeds long-term ERPT, which might reflect prevalent price dollarization in Peru's import and producer prices. Consumer ERPT remained stable at around 10% until 2009, then increased to 15%, indicating lower levels of price dollarization. This paper sheds light on ERPT dynamics in Peru, carrying implications for policymakers in emerging economies. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Time-Varying Effects of External Shocks on Macroeconomic Fluctuations in Peru: An Empirical Application Using TVP-VAR-SV Models(Springer Science+Business Media, 2023-11-24)This study uses a family of VAR models with time-varying parameters and stochastic volatility (TVP-VAR-SV) to analyze the impact of external shocks on output growth and inflation in Peru in 1992Q1-2017Q1. The statistical relevance of the models is assess... - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Effects of External Shocks on Macroeconomic Fluctuations in Pacific Alliance Countries(Elsevier B.V., 2023-07-01)Given Pacific Alliance (PA) countries’ dependence on the external sector amidst volatile global financial conditions and increased trade openness, it is important to understand the time-varying impact of external shocks on these economies to assess their resilience. We use data for 1994Q1-2019Q4 and VAR models with time-varying parameters and stochastic volatility to study the heterogeneity of responses to financial, real, and nominal external shocks. The results suggest that external shocks have played a significant role in domestic cycles (50% on average), but their impact became temporarily larger during the global low-interest-rate period; i.e., the impact of export price and Fed rate shocks on GDP increased the most, peaking in 2002–2011, whereas the effect of shocks originating in China, although the largest, remained stable. In addition, a more predictable and countercyclical monetary policy in response to commodity price shocks diminished the transmission of external shocks, thereby increasing PA economies’ external resilience. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Time-varying transmission of external shocks in Peru: Reassessing the role of monetary policy(Elsevier BV, 2025-11-01)This paper analyzes how the transmission of external shocks to inflation, output, and interest rates in Peru has evolved over the past two decades. Although the literature has emphasized the relevance of terms-of-trade and global financial shocks for emerging markets, limited attention has been paid to how these transmission mechanisms change over time. Using quarterly data from 1998 to 2019, the analysis employs a time-varying parameter VAR model with stochastic volatility and mixture innovations to identify changes in three key blocks: autoregressive coefficients, shock variances, and contemporaneous responses. The results indicate a marked decline in the volatility of monetary policy shocks following the adoption of inflation targeting in 2002, along with a shift in inflation's sensitivity to external shocks—weakening in response to the international interest rate and strengthening in response to Chinese output growth. These patterns reflect improvements in monetary policy credibility and shifts in trade exposure. Robustness exercises confirm the stability of the main findings across alternative specifications.5