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Item type:Publication, The great recession: on the ineffectiveness of domestic adjustment policies and the need of multilateral arrangements(Pontificia Universidad Católica del Perú. Departamento de Economía, 2014)The Great Recession is the manifestation of some fundamental problems in the real sector of the global economy, related basically to the loss of competitiveness of the U.S. and other central economies reflected in continuous external disequilibria in the form of parallel current account deficits and financial account surpluses. Domestic monetary and fiscal (or domestic adjustment) policies are not working because we are dealing with a global problem that requires multilateral solutions allowing the adjustment of some fundamental relative prices and the closing of some key structural imbalances in order to make a sustainable recovery possible. Besides, the difficulties in finding and engineering a solution show the need to reassess the theoretical paradigms underlying the economic policies preceding the current crisis (e.g., supply-side economics). - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Estimation of the Sovereign Yield Curve of Peru: The Role of Macroeconomic and Latent Factors(Pontificia Universidad Católica del Perú. Departamento de Economía, 2017-03)The study of the yield curve has been a topic that interested economists for a long time since the term structure of interest rates is an important transmission channel of monetary policy to inflation and real activity. In this paper, following Ang and Piazzesi (2003), we study the relevance of macroeconomic factors on Peruvian sovereign yield curve through an Affine Term Structure model for the period from November 2005 to December 2015. We estimate a Gaussian model to understand the joint dynamics of macro variables ―inflation and real activity factors― and Peruvian bond yields in a multifactor model of the term structure. Risk premium are modeled as time varying and depend on both observable and unobservable factors. A Vector Autoregressive (VAR) model is estimated considering no-arbitrage assumptions, which let us to derive Impulse Response Functions and Variance Decompositions. We find evidence that macro factors help to improve the fit of the model and explain a substantial amount of variation in bond yields. Variance decompositions show that macro factors explain a significant amount of the movements in the short and middle segments of the yield curve (up to 50%) while unobservable factors are the main drivers for most of the movements at the long end of the yield curve (up to 80%). Furthermore, we find that setting no-arbitrage restrictions improve the forecasting performance of a VAR and that models that include macro factors forecast better than models with only unobservable components. El estudio de la curva de rendimientos ha sido un tema de interés para los economistas desde hace mucho tiempo ya que la estructura a plazo de las tasas de interés es un importante canal de transmisión de la política monetaria a la inflación y a la actividad real. Usando el enfoque de Ang y Piazzesi (2003), este documento estudia la relevancia de los factores macroeconómicos en la curva de rendimiento soberana Peruana a través de un modelo de estructura afín para el período Noviembre 2005 a Diciembre 2015. Se estima un modelo Gaussiano para entender la dinámica conjunta de las variables macroeconómicas ―factores de inflación y actividad real― y los rendimientos de los bonos Peruanos en un modelo multifactorial de la estructura temporal. Las primas de riesgo se modelan como variables cambiantes en el tiempo y dependen de factores observables y no observables. Asi, se estima un modelo vectorial autorregresivo (VAR) considerando supuestos de no arbitraje, lo que nos permite derivar las funciones impulso respuesta y la descomposición de la varianza del error de predicción. Encontramos evidencia de que los factores macro ayudan a mejorar el ajuste del modelo y explican una cantidad sustancial de la variación en los rendimientos de los bonos. Las descomposiciones de varianzas muestran que los factores macroeconómicos explican una cantidad significativa de los movimientos en los segmentos corto y mediano de la curva de rendimientos (hasta el 50%), mientras que los factores no observables son los principales impulsores de la mayoría de los movimientos al final de la curva de rendimientos (hasta el 80%). Además, encontramos que el establecimiento de restricciones de no arbitraje mejoran el desempeño de pronósticos de un VAR y que los modelos que incluyen factores macroeconómicos pronostican mejor que los modelos con sólo componentes no observables. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Los determinantes del índice de condiciones monetarias (ICM) en una economía parcialmente dolarizada: el caso del Perú(Pontificia Universidad Católica del Perú. Departamento de Economía, 2016-06)El Índice de Condiciones Monetarias (ICM), un promedio ponderado de las variaciones de la tasa de interés y el tipo de cambio real, puede utilizarse para evaluar la posición de la política monetaria en el contexto de una economía pequeña y abierta. Sin embargo, en el caso de Perú, la dolarización parcial de la economía obliga a hacer algunos ajustes al ICM tradicional, que supone que tanto un alza en la tasa de interés como una apreciación del tipo de cambio real son necesariamente recesivos. Primero, una devaluación del tipo de cambio real puede ser recesivo, porque el efecto hoja de balance puede primar sobre el efecto competitividad. En segundo lugar, los movimientos en la tasa de interés en moneda extranjera, impulsadas por los cambios en la tasa de encaje por depósitos en esta moneda, pueden determinar también la posición de la política monetaria. En esta investigación se formula un ICM acorde con las características anteriores y se procede a calcularlo utilizando los resultados de estimación de un modelo semi-estructural de pequeña escala. The Monetary Conditions Index (MCI) –a weighted average of changes in the interest rate and real exchange rate– can be useful to characterize the stance of the monetary policy in the context of a small open economy. However, in the particular case of Peru, the partial dollarization of the economy calls for some adjustments to the traditional MCI, since it relies on the assumption that an increases in the interest rate or an appreciation of the real exchange rate are necessarily contractionary. First, a devaluation of the real exchange rate can be recessive, because the balance sheet effect may outweigh the competitiveness effect. Second, movements in interest rates in foreign currencies, driven by changes in the reserve requirement in that currency, may also determine the direction of the monetary policy. In this paper we formulate a MCI in accordance with the aforementioned characteristics and compute it using estimation results from a small-scale semi-structural model. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, The IS-LM-BB: a model for unconventional monetary policy(Pontificia Universidad Católica del Perú. Departamento de Economía, 2013)The Monetary policy of the United States has not been the same since the 2008-2009 international crisis. Following the crisis, given that the federal funds interest rate – the conventional monetary policy instrument – fell to almost zero, the Federal Reserve (FED) had to resort to two unconventional instruments: Firstly, an announcement on the future trajectory of the short-term interest rate. Secondly, direct intervention in the long-term bond market. The objective of this article is to extend the IS-LM model devised by Hicks (1937), to incorporate American monetary policy innovations. This updated model, unlike IS-LM, takes into account that the FED administers the short-term interest rate, not monetary supply, which is endogenous. On the other hand, so as to address quantitative easing, a long-term bond market is added to the IS-LM —in which there only exists a short-term bond market— by resorting to Tobin (1981). This article shows that the old models and the old methods remain very useful in dealing with contemporary macroeconomic problems. - 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, Elementos de teoría y política macroeconómica para una economía abierta. Tercera parte: Capítulo 8(Pontificia Universidad Católica del Perú. Departamento de Economía, 2010)The third part, which consists of four chapters, presents the Mundell-Fleming model; the model of aggregate supply and demand; expectations and contracts as determinants of aggregate supply; the Phillips curve, and the model incorporating the Monetary Policy Reaction Function. The development of Mundell Fleming model is the main content of the eighth chapter. This model explains the conditions that allow the simultaneous achievement of internal and external equilibrium. To this end, the chapter includes some key concepts and identities to understand the functioning of an open economy. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Elementos de teoría y política macroeconómica para una economía abierta. Segunda parte: Capítulo 7(Pontificia Universidad Católica del Perú. Departamento de Economía, 2010)The seventh chapter presents the IS-LM model of simultaneous equilibrium in the goods and services market and the money market. IS-LM model determines the Aggregate Demand and, consequently, the level of output and employment, under the assumption of fixed prices or infinitely elastic Aggregate Supply. Then, it analyzes the effects of fiscal and monetary policies in the simultaneous equilibrium in both markets. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Elementos de teoría y política macroeconómica para una economía abierta. Tercera parte: Capítulo 11(Pontificia Universidad Católica del Perú. Departamento de Economía, 2010)The third part, which consists of four chapters, presents the Mundell-Fleming model; the model of aggregate supply and demand; expectations and contracts as determinants of aggregate supply; the Phillips curve, and the model incorporating the Monetary Policy Reaction Function. This chapter studies the inverse relationship between the rate of inflation and the rate of unemployment well-known as the Phillips Curve. Then, it analyses the short-term equilibrium between inflation, output and unemployment; and by including the Monetary Policy Rule (or Taylor rule) into the IS curve, the chapter describes the meaning of the reaction function of the monetary policy. Finally, it studies the equilibrium, starting from simultaneous analysis of the Phillips Curve and this reaction function. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Elementos de teoría y política macroeconómica para una economía abierta. Cuarta parte: Capítulos 12, 13 y 14(Pontificia Universidad Católica del Perú. Departamento de Economía, 2010)The fourth part, which consists of three chapters (12, 13 and 14), deals with macroeconomic policy in a full employment context. It analyses the labor market and its relationship with Aggregate Supply; then it presents the IS-LM model including this relation; and investment-saving relation in a full employment context. The twelfth chapter develops the link between employment and output in a flexible price economy, by studying the labor market and the production function. The thirteenth chapter presents the complete IS-LM model. This is the neoclassical synthesis model with flexible prices and full employment. It incorporates the neoclassical production function and the equations of supply and demand for labor. The fourteenth chapter examines the income-expenditure equilibrium in the (neo) classical model with flexible prices, and the investment-saving equilibrium for an open economy. It also emphasizes the importance of the role played by the interest rate in a model where the aggregate levels of expenditure and output don’t change, due to the full employment assumption. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Elementos de teoría y política macroeconómica para una economía abierta. Quinta parte: Capítulos 15, 16 y 17(Pontificia Universidad Católica del Perú. Departamento de Economía, 2010)The fifth part, which consists of three chapters (15, 16 y 17), presents an introduction to the theory of economic growth. The fifteenth chapter presents a brief history of economic growth theory. Then, it analyzes the factors that determine the long-term behavior of aggregate and per capita output, and the main concepts of the theory of economic growth. The sixteenth chapter analyzes the Keynesian Harrod-Domar growth model and the neoclassical Solow growth model. These models were developed between the late thirties and the second half of the twentieth century. Both models assume the existence of dynamic long run equilibrium between savings and investment. The seventeenth chapter is an introduction to the theory of endogenous growth. In neoclassical growth models the growth of per capita output is explained by exogenous technological progress. The endogenous growth theory replaces the fundamental assumptions of the neoclassical growth theory to reach different conclusions and policy proposals.
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