Detallan un conjunto amplio de instrumentos monetarios para regular la liquidez en medio de una volatilidad cambiaria con efectos importantes en la disponibilidad y composicion de la liquidez bancaria.
Research Interests:
Research Interests:
Research Interests:
By Paul Castillo and Javier Pereda; Abstract: Este artículo busca extraer lecciones de política que permitan enfrentar con éxito la crisis actual, a partir de la. ... Lecciones de la crisis rusa para enfrentar la crisis financiera global... more
By Paul Castillo and Javier Pereda; Abstract: Este artículo busca extraer lecciones de política que permitan enfrentar con éxito la crisis actual, a partir de la. ... Lecciones de la crisis rusa para enfrentar la crisis financiera global mundial. Paul Castillo and Javier Pereda. ...
Research Interests:
Research Interests:
Research Interests:
Research Interests:
Research Interests:
This paper reviews the Peruvian experience in using FX intervention and reserve requirements for macroprudential purposes, with the aim of limiting the financial risks associated with dollarisation. Peru is a successful market-driven case... more
This paper reviews the Peruvian experience in using FX intervention and reserve requirements for macroprudential purposes, with the aim of limiting the financial risks associated with dollarisation. Peru is a successful market-driven case of dedollarisation, which reflects both macroeconomic stability and prudential policies. Since the adoption of inflation targeting in 2002, core inflation has been on average 2.1%. During the same period, financial dollarisation has declined steadily, from levels close to 80% to less than 30%. Besides delivering low and stable inflation, the current monetary policy framework has also contributed to providing an effective response to the global financial crisis, by limiting its spillover effects on the domestic financial system. Full Publication: Reserve Management and FX Intervention
Research Interests:
This paper provides a fully micro-founded New Keynesian framework to study the interaction among oil prices volatility, pricing behavior of …rms and monetary policy. We show that when oil has low substitutibility, …rms …nd optimal to... more
This paper provides a fully micro-founded New Keynesian framework to study the interaction among oil prices volatility, pricing behavior of …rms and monetary policy. We show that when oil has low substitutibility, …rms …nd optimal to charge higher relative prices as a premium in compensation for the risk that oil price volatility generates on their marginal costs. Overall, in general equilibrium, the interaction of the aforementioned mechanisms produces a positive and meaningful relationship between oil price volatility and average in‡ation, which we denominate in‡ation premium. We characterize analytically this relationship by using the perturbation method to solve, up to second order, the rational expectations equilibrium of the model. This solution implies that the in‡ation premium is higher in economies where: a) oil has low substitutibility and b) the Phillips Curve is convex. Dispersion in prices is a key ampli…er mechanism for the convexity of the Phillips curve. We also show...
Research Interests:
Presenta argumentos que muestran las ventajas para las economías emergentes, de mantener un nivel adecuado de reservas internacionales frente a escenarios externos adversos.
Research Interests:
En esta investigacion, los autores usan datos trimestrales de Peru para examinar de manera empirica la relacion entre los choques permanentes sobre los terminos de intercambio y las fluctuaciones economicas en economias abiertas y... more
En esta investigacion, los autores usan datos trimestrales de Peru para examinar de manera empirica la relacion entre los choques permanentes sobre los terminos de intercambio y las fluctuaciones economicas en economias abiertas y pequenas en desarrollo. Para ello, los autores calcularon un modelo VAR con tendencias estocasticas comunes, siguiendo la metodologia descrita en King et al. (1991) y en Mellander et al. (1992). Los principales hallazgos son que los choques permanentes a los terminos de intercambio explican la mayor parte de las fluctuaciones del producto, el consumo y la inversion a largo plazo. Este resultado es robusto para diversas especificaciones alternativas. Ademas, se muestra que la variabilidad del crecimiento del producto potencial, medido con el componente permanente calculado del PIB, depende en alto grado de las oscilaciones de los terminos de intercambio. Sus principales resultados se mantienen sin cambio cuando estiman el modelo con datos de Chile, aunque e...
Research Interests:
Research Interests:
This paper assess the role played by the exchange rate and FX intervention in setting monetary policy interest rates in Peru. We estimate a Taylor rule that includes inflation, output gap and the exchange rate using a New Keynesian DSGE... more
This paper assess the role played by the exchange rate and FX intervention in setting monetary policy interest rates in Peru. We estimate a Taylor rule that includes inflation, output gap and the exchange rate using a New Keynesian DSGE model that follows closely Schmitt-Grohé and Uribe (2017). The model is extended to include an explicit sterilized FX intervention rule as in Faltermeier et al. (2017). The main empirical results show, for the pre Inflation Targeting (IT) and IT periods, that the model that clearly outperforms in terms of marginal log density, features a Taylor rule that does not respond to changes in the nominal exchange rate and an active use of FX intervention by the Central Bank. We also find that the coefficient associated with the response of the Taylor rule to inflation is close to 2 and the one associated with the output gap is greater than 1; and that FX intervention has become more responsive to exchange rate fluctuations during the IT period. Finally, the ...
Research Interests:
Research Interests:
In this paper we document and empirically evaluate the use of unconventional monetary policy tools in Peru to reduce credit dollarization. Our empirical analysis uses the counter-factual test proposed by Pesaran and Smith (2012) and shows... more
In this paper we document and empirically evaluate the use of unconventional monetary policy tools in Peru to reduce credit dollarization. Our empirical analysis uses the counter-factual test proposed by Pesaran and Smith (2012) and shows that both high reserve requirements, used counter cyclically since 2010, and the de-dollarization program put in place by the Central Reserve Bank of Peru (BCRP) since 2013 had statistically significant effects on reducing credit dollarization in Peru. The paper also discusses the impact on bank’s balance sheet of the complementary tools created as part of the de-dollarization program to inject domestic currency liquidity.
Research Interests:
Over the last 30 years, the Peruvian economy has shown a dramatic decrease in the volatility of its macroeconomic aggregates. Following Primiceri (2005), Benati (2008) and Gali and Gambetti (2009), a Bayesian structural vector... more
Over the last 30 years, the Peruvian economy has shown a dramatic decrease in the volatility of its macroeconomic aggregates. Following Primiceri (2005), Benati (2008) and Gali and Gambetti (2009), a Bayesian structural vector autoregression with time-varying parameters and variance covariance matrix of the innovations is used to analyse the underlying causes of Peruvian "Great Moderation". The Peruvian economy is modelled using real GDP growth, inflation and the rate of growth of M1 (money base). Our main results show: (1) Monetary policy has contributed significantly to the "Great Moderation" by reducing the volatility of its non-systematic component and by changing its reaction function to demand and supply shocks; (2) Structural reforms also contributed to reduce the responsiveness of GDP and inflation to demand and supply shocks; (3) During the period of high volatility, supply and policy shocks were the most important determinants of macroeconomic instability.
Research Interests:
Research Interests:
This paper assesses the policies implemented in the Peruvian economy in response to the sudden stop of capital flows of the end of the nineties. The Peruvian experience during this episode is an interesting case-study because it offers an... more
This paper assesses the policies implemented in the Peruvian economy in response to the sudden stop of capital flows of the end of the nineties. The Peruvian experience during this episode is an interesting case-study because it offers an example of a highly dollarized economy where a sudden stop of capital flows neither had dramatic negative effects on the banking
Research Interests:
This paper develops a dynamic stochastic general equilibrium model, which is calibrated for the Peruvian economy and can be useful for the design and analysis of monetary policy. The model includes a second currency that replaces... more
This paper develops a dynamic stochastic general equilibrium model, which is calibrated for the Peruvian economy and can be useful for the design and analysis of monetary policy. The model includes a second currency that replaces partially the domestic currency in its ...
Research Interests:
Research Interests:
Evalua el efecto indirecto que pueda tener la tasa de interes de la Reserva Federal de los Estados Unidos en la tasa de referencia del BCRP.
Research Interests:
Research Interests:
This paper extends a simple dynamic general equilibrium neokeynesian model consider-ing preferences that exhibit intertemporal and intratemporal non-homotheticity. We show that when introducing non-homotheticity we can calibrate the model... more
This paper extends a simple dynamic general equilibrium neokeynesian model consider-ing preferences that exhibit intertemporal and intratemporal non-homotheticity. We show that when introducing non-homotheticity we can calibrate the model to generate asymmet-ric responses in output and ination to monetary policy shocks similar to those observed in the data. Moreover, we are able to generate asymmetric responses that are associated both to a convex supply curve and to asymmetric shifts in aggregate demand, extending the existent literature that only considers one type of asymmetry at the time. Furthermore, we show that linear approximation solutions of dynamic general equilibrium models are not only inaccurate to measure welfare, but also to account for the dynamics of the model when preferences are non-homothetic. The paper also extends the literature on the impli-cations of non-linearity, asymmetry, for optimal monetary policy rules. In particular we show that when non-linear behav...
We evaluate the second order solution of a general equilibrium model for a small open economy in the line of the "new open economy macroeconomics". We use this framework to explain some recent regularities observed in economies... more
We evaluate the second order solution of a general equilibrium model for a small open economy in the line of the "new open economy macroeconomics". We use this framework to explain some recent regularities observed in economies in which central banks move from using a money aggregate as the target towards a regime based on the control of the short-term interest rate. In particular, in those economies we observe that after the change of policy rule there is a decrease in the unconditional volatilities accompanied by a reduction in the unconditional mean in inflation and interest rates vis-a-vis an increase in the unconditional mean in money aggregates. By analyzing the second order solution we relax the assumption of certainty equivalence which permit us to consider the role of uncertainty in the equilibrium solution. Overall, unlike the linear approach, the second order solution of the model allow us to capture the decrease in the unconditional means of interest rate and i...
Research Interests:
We evaluate the role of oil prices shocks in explaining inflation dynamics in the post war US period. In doing so, we use the second order solution of a benchmark New Keynesian framework when the economy is hit by an oil price shock. The... more
We evaluate the role of oil prices shocks in explaining inflation dynamics in the post war US period. In doing so, we use the second order solution of a benchmark New Keynesian framework when the economy is hit by an oil price shock. The second order solution permits us to relax the certainty equivalence assumption generating a risk-premium over inflation absent in a log-linear approximation. We find , in contrast with Clarida Galí and Gertler (QJE, 2000), that oil price shocks rather than differences in the monetary policy rules between the pre-Volcker and post-Volcker periods, are the main driving forces that explain high and persistent levels of inflation during the 70´s. The mechanism works as follows: an increase in the volatility of oil prices fits into the marginal costs of firms through the production function and increases output volatility in equilibrium. The convexity of the Phillips curve is crucial to generate an increasing function between the volatility of output and ...
Research Interests:
Since the adoption of the fully-fledged inflation targeting (IT) regime by an important group of central banks, a measure of both the potential output and the natural interest rate have become one of the main concerns of the research... more
Since the adoption of the fully-fledged inflation targeting (IT) regime by an important group of central banks, a measure of both the potential output and the natural interest rate have become one of the main concerns of the research agenda. Estimation of the natural interest rate (NIR) is crucial to capture the stance of the monetary policy. In particular, the gap between the instrument rate of the Central Bank and the NIR can be a useful guideline for the position of the monetary policy and can also help to rationalize policy decisions. In this paper we estimate the NIR for the Peruvian Economy. We do so by applying the Kalman Filter to a semi-structural small open economy model with Peruvian data during he sample 1994-2005. Overall, our findings show a persistent reduction on the Peruvian NIR since 1999, which is related to an improvement on the terms of trade and a reduction on the international interest rate. Moreover, the estimated gap shows a loose monetary impulse between 19...
Research Interests:
Este trabajo contribuye a la discusión de políticas macroeconómicas para la economía peruana, reportando un conjunto amplio de hechos estilizados para el periodo 1980-2005. La documentación de esto hechos permitirá una mayor comprensión... more
Este trabajo contribuye a la discusión de políticas macroeconómicas para la economía peruana, reportando un conjunto amplio de hechos estilizados para el periodo 1980-2005. La documentación de esto hechos permitirá una mayor comprensión de las características distintivas de Perú y por tanto servirá como herramienta de evaluación de modelos de comportamiento para la economía peruana. Los resultados de este trabajo se resumen a continuación: primero, se verifica un cambio importante en la estructura de la economía peruana en los 90's respecto a los 80's. En particular, en los 90's se observa una mayor apertura comercial y financiera, una mayor estabilidad de las políticas fiscal y monetaria, y una mayor profundización de los mercados financieros. Segundo, a raíz del cambio en la estructura y de la adopción del régimen monetario de metas explícitas de inflación en el año 2002, el comportamiento cíclico de las principales variables macroeconómicas ha cambiado significativame...
Research Interests:
This paper studies the conditions under which it is optimal for an economy to have more than one unit of account (price dollarization) and how this equilibrium is related to monetary policy. To that purpose we build a simple stochastic... more
This paper studies the conditions under which it is optimal for an economy to have more than one unit of account (price dollarization) and how this equilibrium is related to monetary policy. To that purpose we build a simple stochastic general equilibrium model of a small open economy where firms have to set prices in advance and to choose endogenously between a domestic and a foreign currency to set prices. We find as in Mundell (1961), that the combination of sticky prices and sector specific productivity shocks make optimal for some firms to use a foreign currency as unit of account. The central bank sustains this equilibrium by actively using the nominal exchange rate as an instrument to partially offset the effect that sector specific productivity shocks generate on relative price distortions . Additionally, we find that an strict inflation target can reduce price dollarization, although this equilibrium is not optimal, and that "excessive fear of floating" induces in...
Analizan las alternativas de política económica que se pueden considerar frente al influjo de capitales a las economías emergentes.
In a fully micro-founded New Keynesian framework, we characterize analytically the relation between average inflation and oil price volatility by solving the rational expectations equilibrium of the model up to second order of accuracy.... more
In a fully micro-founded New Keynesian framework, we characterize analytically the relation between average inflation and oil price volatility by solving the rational expectations equilibrium of the model up to second order of accuracy. Higher oil price volatility induces higher levels of average inflation. We also show that when oil has low substitutability and the central bank responds to output fluctuations, oil price volatility matters for the level of average inflation. The model shows that when oil price volatility increases, average inflation increases whereas average output falls: this implies a trade-off also between average inflation and that of output. The analytical solution further indicates that for a given level of oil price volatility, average inflation is higher when marginal costs are convex in oil prices, the Phillips Curve is convex, and the degree of relative price dispersion is also higher. We perform a numerical exercise showing that the model with a empirical...
Research Interests:
In this paper we report the main stylized facts of the business cycle for the Peruvian Economy. This study is important for the development of economic models, which are useful to evaluate the impact of different economic policies.... more
In this paper we report the main stylized facts of the business cycle for the Peruvian Economy. This study is important for the development of economic models, which are useful to evaluate the impact of different economic policies. Moreover, for those models to have empirical validity, it is necessary they reproduce the short run dynamics of the economy. Because of this, we need a clear understanding of the stylized facts of the business cycle, in particular the volatility and the co-movements of the main macroeconomic variables. Our results can be summarized as follows: First, we verify an important structural change in the Peruvian economy in the 90´s respect to the 80´s. In particular, we observe both broader trade and financial openness, more stable fiscal and monetary policies, and deeper financial markets. Second, as a consequence of this structural change and the adoption of the fully-fledge inflation targeting regime, the cyclical behavior of the main macroeconomic variables...
Research Interests:
In this paper we analyse the effects of informal labour markets on the dynamics of inflation and on the transmission of aggregate demand and supply shocks. In doing so, we incorporate the informal sector in a modified New Keynesian model... more
In this paper we analyse the effects of informal labour markets on the dynamics of inflation and on the transmission of aggregate demand and supply shocks. In doing so, we incorporate the informal sector in a modified New Keynesian model with labour market frictions as in the Diamond-Mortensen-Pissarides model. Our main results show that the informal economy generates a "buffer" effect that diminishes the pressure of demand shocks on aggregate wages and inflation. Finding that is consistent with the empirical literature on the e¤ects of informal labour markets in business cycle fluctuations. This result implies that in economies with large informal labour markets the interest rate channel of monetary policy is relatively weaker. Furthermore, the model produces cyclical flows from informal to formal employment consistent with the data.
Research Interests:
This paper provides a fully micro-founded New Keynesian framework to study the interaction between oil price volatility, pricing behavior of firms and monetary policy. We show that when oil has low substitutability, firms find it optimal... more
This paper provides a fully micro-founded New Keynesian framework to study the interaction between oil price volatility, pricing behavior of firms and monetary policy. We show that when oil has low substitutability, firms find it optimal to charge higher relative prices as a premium in compensation for the risk that oil price volatility generates on their marginal costs. Overall, in
Research Interests:
This paper evaluates the link between inflation and inflation uncertainty in a context of monetary policy regime shifts for the Peruvian economy. We use a model of unobserved components subject to regime shifts to evaluate this link. We... more
This paper evaluates the link between inflation and inflation uncertainty in a context of monetary policy regime shifts for the Peruvian economy. We use a model of unobserved components subject to regime shifts to evaluate this link. We verify that periods of high(low) inflation me an were accompanied by periods of high(low) both short -and long- run uncertainty in inflation. Interestingly, unlike developed countries, short run uncertainty is important. These relationaships are consistent with the presence of three clearly differentiated regimes. First, a period of price stability, then a high -inflation high-volatility regime, and finally a hyperinflation period. We also verify that during a recent period of price stability, both permanent and transitory shocks to inflation have decreased in volatility. Finally, we find evidence that inflation and money growth rates share similar regime shifts.
Research Interests:
En este documento se desarrolla un modelo de equilibrio general dinámico y estocástico calibrado para la economía peruana que puede ser usado para el diseño y análisis de política monetaria. El modelo incluye una segunda moneda que... more
En este documento se desarrolla un modelo de equilibrio general dinámico y estocástico calibrado para la economía peruana que puede ser usado para el diseño y análisis de política monetaria. El modelo incluye una segunda moneda que reemplaza parcialmente a la moneda doméstica en sus funciones de unidad de cuenta, medio de pago y reserva de valor; fenómeno que es conocido en la literatura económica como dolarización parcial. Se incluyen además rigideces reales, nominales y financieras para poder replicar algunas regularidades empíricas de los datos macroeconómicos peruanos. El modelo reproduce relativamente bien los principales hechos estilizados de la economía peruana. Se muestra además cómo la dolarización reduce la potencia de la política monetaria para afectar el producto y aumenta la vulnerabilidad de la actividad económica a choques externos. Asimismo, se muestra cómo la intervención cambiaria reduce esta vulnerabilidad. Además, se realizan experimentos que muestran la importan...
Research Interests:
Los autores buscan responder estas preguntas a la luz de la reciente experiencia internacional, ante la cual los bancos centrales implementaron políticas monetarias expansivas aún cuando los mercados de dinero dejaron de funcionar... more
Los autores buscan responder estas preguntas a la luz de la reciente experiencia internacional, ante la cual los bancos centrales implementaron políticas monetarias expansivas aún cuando los mercados de dinero dejaron de funcionar apropiadamente.
Discuten la evolución reciente de esta práctica de los bancos centrales en economías desarrolladas a partir de la crisis financiera internacional de 2007-2009 y la crisis de deuda pública que amenaza actualmente a las economías europeas.
La regulación laboral debe asegurar un balance entre la protección de los derechos de los trabajadores y la flexibilidad del mercado de trabajo, esta es una conclusión del seminario organizado por el BCRP, cuyo resumen se presenta en este... more
La regulación laboral debe asegurar un balance entre la protección de los derechos de los trabajadores y la flexibilidad del mercado de trabajo, esta es una conclusión del seminario organizado por el BCRP, cuyo resumen se presenta en este artículo.
Este documento analiza las respuestas de política económica frente a dos episodios de reversión repentina de flujos de capital en la economía peruana, la crisis Rusa de 1998 y la crisis económica mundial actual. El análisis indica que en... more
Este documento analiza las respuestas de política económica frente a dos episodios de reversión repentina de flujos de capital en la economía peruana, la crisis Rusa de 1998 y la crisis económica mundial actual. El análisis indica que en ambos casos, la economía peruana logró aminorar el impacto de estos choques, gracias a una política adecuada de control de riesgos sistémicos. En particular, durante las fases expansivas del ciclo económico, se llevó a cabo una política preventiva de acumulación de reservas internacionales, a través de elevados encajes en moneda extranjera a los depósitos bancarios y adeudados, una sólida posición fiscal y la intervención ocasional en el mercado cambiario. Posteriormente, durante los episodios de reversión de capitales, la pérdida parcial de las reservas acumuladas permitió compensar esta reducción en los flujos financieros internacionales y atenuar su impacto sobre el crecimiento. Clasificación JEL: E44, E58, F32, F34
Los autores analizan la importancia de seguir reduciendo la dolarización de la economía para garantizar una mayor efectividad de la política monetaria.
Explican el rol que cumple el reajuste por valuación en la presentación de los estados financieros del BCRP
Se extiende el modelo propuesto por Bernanke yMihov (1998) para el caso de una economía parcialmente dolarizada para estimar los efectos de la política monetaria en el Perú entre 1995 y 2009. Los resultados indican que la política... more
Se extiende el modelo propuesto por Bernanke yMihov (1998) para el caso de una economía parcialmente dolarizada para estimar los efectos de la política monetaria en el Perú entre 1995 y 2009. Los resultados indican que la política monetaria en el Perú, a pesar de ser esta una economía parcialmente dolarizada, tiene efectos similares a los que predice la teoría económica en economías sin dolarización. En particular, ante un choque contractivo de política monetaria las tasas de interés suben, los agregados monetarios se contraen, la moneda local se aprecia, la demanda agregada se desacelera y finalmente la inflación cae. Sin embargo, los choques cambiarios resultan ser un importante determinante del mercado monetario. Finalmente, los resultados muestran que el Banco Central responde con mayor intensidad a choques de demanda por dinero que a choques cambiarios durante el periodo posterior a la adopción de metas explicitas de inflación.
Research Interests:
I analyze optimal monetary policy in an economy with search and matching frictions in the labor market and staggered nominal wage and price contracts. In this framework, as opposed to the standard New Keynesian model, preset nominal wages... more
I analyze optimal monetary policy in an economy with search and matching frictions in the labor market and staggered nominal wage and price contracts. In this framework, as opposed to the standard New Keynesian model, preset nominal wages need not have any effect on existing employment relationships. However, staggered bargaining of nominal wages distorts aggregate job creation and creates inefficient
Research Interests:
A 12-year-old boy with refractory acute lymphoblastic leukemia received a haploidentical transplant from his mother. As prophylaxis for Epstein-Barr virus (EBV), cytomegalovirus (CMV) and adenovirus, he received ex vivo expanded... more
A 12-year-old boy with refractory acute lymphoblastic leukemia received a haploidentical transplant from his mother. As prophylaxis for Epstein-Barr virus (EBV), cytomegalovirus (CMV) and adenovirus, he received ex vivo expanded virus-specific donor T cells 3.5 months after transplant. Four weeks later leukemic blasts bearing the E2A deletion, identified by fluorescent in situ hybridization (FISH), appeared transiently in the blood followed by a FISH-negative hematological remission, which was sustained until a testicular relapse 3.5 months later. Clearance of the circulating leukemic cells coincided with a marked increase in circulating virus-specific T cells. The virus-specific cytotoxic T-cell (CTL) line showed strong polyfunctional reactivity with the patient's leukemic cells but not phytohemagglutinin (PHA) blasts, suggesting that virus-specific CTL lines may have clinically significant antileukemia activity.