3. Producción

Browse

Settings

Subject: search.filters.subject.E51

Search Results

Now showing 1 - 2 of 2
  • Loading...
    Thumbnail Image
    Some of the metrics are blocked by your 
    consent settings
    Item type:Publication,
    Lending rate sensitivity to monetary policy: a bank level empirical analysis
    (Emerald Publishing Limited, 2025-01-01)
    This paper evaluates how the monetary policy rate influences bank lending rates in Peru, focusing on various loan types from September 2010 to August 2022. Design/methodology/approach We utilize the Bai and Perron (1998, 2003) methodology to account for structural changes in the pass-through effect of monetary policy on lending rates. Findings Findings indicate a heterogeneous impact of monetary policy on lending rates, with larger effects during significant rate changes and heightened sensitivity post-2019 due to COVID-19. Originality/value This study is the first to investigate the effects of monetary policy on interest rates using segment and bank level data in Peru.
      1
  • Loading...
    Thumbnail Image
    Some of the metrics are blocked by your 
    consent settings
    Item type:Publication,
    Impacts and evolution of monetary policy shocks on macroeconomic fluctuations in Peru using regime-switching VAR models
    (Elsevier BV, 2026-08-01)
    This paper applies regime-switching VAR models with time-varying parameters and variances to analyze the impact and evolution of monetary policy shocks and their contribution to GDP growth, inflation, and the interest rate in Peru over 1994Q3–2019Q4. The approach offers an alternative and complementary perspective to Pérez Rojo and Rodrıguez (2024). The main findings are: (i) the best-fitting models incorporate regime-switching volatility; (ii) two distinct regimes emerge, coinciding with the adoption of inflation targeting (IT); (iii) the volatility of GDP growth and inflation began to decline in the early 1990s, while interest rate volatility fell sharply after IT implementation; and (iv) prior to IT, monetary policy shocks explained 15%, 30%, and 90% of the long-term forecast error variance decomposition of inflation, GDP growth, and the interest rate, respectively, but their contribution became negligible thereafter. Overall, the results are robust across alternative specifications, underscoring the stabilizing role of IT in Peru’s monetary policy framework.