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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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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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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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