WP 2012-05: Measuring the Effects of Monetary Policy Using Market Expectations
WP 2012-05: Measuring the Effects of Monetary Policy Using Market Expectations
WP 2012-05: Measuring the Effects of Monetary Policy Using Market Expectations
N°
WP 2012-05
Title
Measuring the Effects of Monetary Policy Using Market Expectations
Author(s)
Erick Lahura
Language
English
Date
2012/01/31
Abstract
In order to quantify the effects of monetary policy, this paper employs an alternative empirical measure of monetary policy shocks based on market expectations obtained from media and survey information in Peru. Using monthly data for the period 2003-2011, we use the proposed measure as a variable representing exogenous variation in monetary policy and evaluate its dynamic impact on output and prices. The results show a coherent picture of the effects of monetary policy compared to alternative approaches in terms of both the magnitude and the timing of the effects.