Working Papers

The working papers of the Central Reserve Bank of Perú are preliminary research documents disseminated to motivate discussion and analysis. The conclusions and recommendations are those of the authors and do not indicate necessarily the point of view of the Central Reserve Bank of Perú or that of its board of Directors.

The working papers are published in their original language only, with abstracts in both Spanish and English. If you want to receive by e-mail the latest list of the working papers published, please contact the editors at Esta dirección electrónica esta protegida contra spam bots. Necesita activar JavaScript para visualizarla

2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | 1997

2010

  • DT N° 2010-001: Redes neuronales para predecir el tipo de cambio diario
    • Author: Carlos R. Barrera
    • Language: Spanish
    • Date: January 2010
    • Abstract: Un problema recurrente es que los modelos estructurales de determinación del tipo de cambio no logran predecirlo con mayor precisión que un camino aleatorio. El objetivo de la presente investigación es verificar si es posible obtener proyecciones relativamente precisas generadas por un grupo de modelos econométricos para el tipo de cambio diario sobre la base de la muestra disponible enero 2004 - setiembre 2008. Los modelos a compararse en términos predictivos son: (a) camino aleatorio en el nivel del tipo de cambio; (b) auto-regresión con p rezagos en la variación del tipo de cambio; (c) perceptrones con p rezagos en la variación del tipo de cambio y (d) auto-regresión fraccional con p rezagos en el nivel del tipo de cambio. Los resultados obtenidos confirman que los perceptrones poseen la capacidad para anticipar el patrón de los movimientos diarios en el tipo de cambio, especialmente cuando se utiliza el spread entre el tipo de cambio venta y compra como porcentaje del tipo de cambio promedio de estas dos cotizaciones, la depreciación diaria del yen contra el dólar americano y el diferencial de tasas domésticas de interés interbancarias en ambas monedas.
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2009

  • DT N° 2009-015: The Blessing of Natural Resources: Evidence from a Peruvian Gold Mine
    • Author: Fernando M. Aragón and Juan Pablo Rud
    • Language: English
    • Date: December 2009
    • Abstract: This paper studies the impact of Yanacocha, a large gold mine in Peru, on the local population. Using annual household data from 1997 to 2006, we find robust evidence of a positive effect of the mine's demand of local inputs on real income. The e ffect, an average income increase of 1.7% per 10% additional mine's purchases, is only present in the mine's supply market and surrounding areas. We also find evidence of improvements on measures of welfare and reduction of poverty. We examine and rule out that our results are driven by increased public expenditure associated to the mining revenue windfall. Using a spatial general equilibrium model, we interpret these results as evidence of net welfare gains generated by the mine's backward linkages and its multiplier effect.
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  • DT N° 2009-014: El Cambio Climático y Sus Efectos en el Perú
    • Author: Paola Vargas
    • Language: Spanish
    • Date: July 2009
    • Abstract: Existe extensa literatura que evidencia que el calentamiento del sistema climático es una realidad y que de no adoptar una política ambiental internacional rígida frente a este tema, se haría más inminente avanzar hacia escenarios extremos de más de 5° C de aumentos de temperatura para fin de siglo; lo que significaría pérdidas de hasta 20% del PBI mundial. Los impactos del cambio climático se distribuyen de manera heterogénea entre países siendo los menos afectados aquellos países con mayor participación en la acumulación de GEI, como China y USA. Entre las regiones más afectadas se encuentran las que tienen sistemas productivos más sensibles al clima como África, el Sur y Sur-Este de Asia y América Latina. Para el caso peruano se estima, basado en el marco teórico propuesto por Dell, et al (2008), que un aumento de 2°C en la temperatura máxima y 20% en la variabilidad de las precipitaciones al 2050, generaría una pérdida de 6% respecto al PBI potencial en el año 2030, mientras que en el año 2050 estas pérdidas serían superiores al 20%; reduciéndose estas pérdidas a menos de la tercera parte en caso se adopten políticas globales que estabilicen la variables climáticas al 2030.
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  • DT N° 2009-013: Ciclos sectoriales de los negocios en el Perú e indicadores anticipados para el crecimiento del PBI no primario
    • Author: Carlos Barrera
    • Language: Spanish
    • Date: June 2009
    • Abstract: En esta investigación se describe los hechos estilizados de los ciclos sectoriales de los negocios privados en el Perú desde inicios de los 90s. Las reformas estructurales deberían reflejarse en una mayor integración productiva generada por un proceso de formación de complementariedades entre los diferentes sectores bajo condiciones de mercado. La metodología del NBER es utilizada para determinar los puntos de inicio de las fases expansiva y contractiva en el ritmo de crecimiento de los negocios por sectores en el periodo 1994-2007. Se seleccionó el crecimiento promedio del PBI no primario como la variable referencial. Sin embargo, se encuentra que no existe un ciclo agregado común en la economía peruana (asincronía) en la muestra disponible, el que sin embargo podría estar en formación hacia el final de la muestra. Esta conjetura es apoyada por los datos de las duraciones de las fases en los ciclos individuales, pues se suceden de manera recurrente. Se encuentra además que la duración de las fases más recientes es mayor que las más alejadas en la muestra. Ambos resultados significan que las reformas estructurales mejoraron la estructura de relaciones económicas entre los diferentes sectores de la actividad productiva sectorial en el Perú al generar una mayor flexibilidad para enfrentar los diversos choques a la que está expuesta (resiliencia). Finalmente, se propone un criterio para construir un índice de indicadores anticipados cuando no se dispone de un ciclo agregado en formación. Al utilizarlo, se logra anticipar el inicio de una desaceleración en el II semestre del 2008, el cual puede ser el inicio del primer ciclo agregado común de los negocios en el Perú.
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  • DT N° 2009-012: Análisis de Focalización de la Política Social
    • Authors: Marielle del Valle, Augusta Alfageme
    • Language: Spanish
    • Date: April 2009
    • Abstract: This document shows two levels of targeting analysis: geographical and by households or individuals. The first shows the outcomes of the Poverty Map by districts of 2007, and performs a geographical allocation analysis of the public expenditure in the “Glass of Milk Program” (Programa de Vaso de Leche) and the “Municipal Compensation Fund” (Fondo de Compensación Municipal - Foncomun). The second provides a targeting study at the household level to analyze the effectiveness of the following social programs Community Kitchens (Comedores Populares), School Breakfast (Desayuno Escolar), Glass of Milk (Vaso de Leche) and Integrated Health Insurance (Seguro Integral de Salud), using the last available information of the National Hosehold Survey carried out by the National Institute of Statistics. Of the 1 834 districts of the country, 56 percent have monetary poverty rates higher than 50 percent. It is also shown, with the exception of Metropolitan Lima, that the Foncomun’s resources are not being allocated in accordance to the social infraestructure needs at geographical level. In the case of the Glass of Milk, it can be observed that, without Lima, the geographical allocation matches better the monetary poverty, however, there are serious targeting problems at the household level. With regard to the targeting at the household level, we find that from 2005 to 2007, the leakage measured by the monetary method increased in 8, 6, 5 and 2 percentage points in Community Kitchen, Glass of Milk, Integrated Health Insurance and School Breakfast programs, respectively. These programs received resources for S/. 985 millions in 2007; however due to leakages, the loss of resources amounted to S/. 387 millions. The coverage has improved in School Breakfast and Integrated Health Insurance, but it has not done so in Community Kitchen and Glass of Milk, for which the undercoverage remained constant. We also perform a measure of the targeting errors identifying as poor population those with precarious living conditions. With this definition, the leakage levels decrease, but their trend is very similar to the one calculated with the monetary method.
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  • DT N° 2009-011: Estimating Output Gap, Core Inflation, and the NAIRU for Peru
    • Authors: Gabriel Rodríguez
    • Language: English
    • Date: April 2009
    • Abstract: Following Doménech and Gómez (2006), and using quarterly Peruvian data for 1970: 1-2007: 4, I estimate a model that exploits the information contained in the inflation, unemployment and private investment rates in order to estimate non-observable variables as output gap, the NAIRU and the core inflation. The unknown parameters are esti- mated by maximun likelihood using a Kalman filter initialized with a partially difuse prior, and the unobserved components are estimated using a smoothing algorithm. The results suggest that only the infla- tion rate contains useful information in order to estimate the output gap. Estimates suggest poor performance for the unemployment and private investment rates. I explain this issue as related to the poor quality of the construction of these variables. In order to perform a sensitivity analysis, I estimate the output gap using other alternative methods. The correlations are very different and very far away from the estimates obtained in this paper. It is clear that estimates obtained from simple statistical filters give poor approximations.
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    • Accepted in Applied Econometrics and International Development.
  • DT N° 2009-010: Using A Forward-Looking Phillips Curve to Estimate the Output Gap in Peru
    • Author: Gabriel Rodríguez
    • Language: English
    • Date: April 2009
    • Abstract: This paper identifies the output gap using the theoretical definition of the gap within a Phillips curve. The results show that the output gap is large and persistent. Furthermore, the output gap is not correlated with the stochastic trend which is similar to the asumption used in the unobserved components model. The model is extended to include information coming from the unemployment rate. The results are very similar to those obtained without this variable indicating poor additional information in the unemployment rate to identify the output gap. Other estimations of the output gap are performed. I use the procedures of Hodrick and Prescott (1997), Baxter and King (1999), Beveridge and Nelson (1981), Morley, Nelson and Zivot (2003), the unobserved components model of Clark (1987) and a simple quadratic trend. The results show strong di¤erences between our measure of output gap and the other measures. The closer measure is the one obtained using the unobserved component model and the simple quadratic trend.
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  • DT N° 2009-009: Estimation of a Time Varying Natural Interest Rate for Peru
    • Authors: Alberto Humala, Gabriel Rodríguez
    • Language: English
    • Date: April 2009
    • Abstract: Following the approach of Mésonnier and Renne (2007), we estimate a Natural Rate of Interest (NRI) using quarterly Peruvian data for the period 1996: 3 - 2008: 3. The model has six equations and it is estimated using the Kalman filter with output gap and NRI as unobservable variables. Estimation results indicate a more stable NRI in period 2001: 3 - 2008: 3 than in period 1996: 3 - 2001: 2 and also more stable than the observed real interest rate. Real interest rate gap (difference between real and natural rates), which measures monetary policy stance, indicates a restrictive policy for 1996-2001 and for 2003. Results also suggest a real interest rate greater than NRI for 2002 and for 2004-2008.
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  • DT N° 2009-008: Foreign Exchange Intervention and Exchange Rate Volatility in Peru
    • Authors: Alberto Humala, Gabriel Rodríguez
    • Language: English
    • Date: April 2009
    • Abstract: Flexible exchange rate experience in Peru has been accompanied by frequent official interventions in the form of foreign exchange purchases or sales. Monetary authority pursues reducing excess volatility in the exchange rate through its direct intervention. However, in recent years, this intervention has concentrated in US dollars purchases, apparently signaling a bias towards defending a given exchange rate level (not necessarily fixed). For the period 1994 - 2007, this document assesses consistency of the empirical evidence with the goal of reducing exchange rate volatility. Thus, it uses univariate and multivariate time series models subject to stochastic shifts to study currency pressures. Results suggest consistency with the reduced-volatility goal. Nonetheless, in line with other studies, factors such as the foreign exchange gap with respect to its trend also induce foreign exchange intervention.
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    • Accepted in Applied Economic Letters.
  • DT N° 2009-007: Have European Unemployment Rates Converged?
    • Authors: Dionisio Ramírez Carrera, Gabriel Rodríguez
    • Language: English
    • Date: April 2009
    • Abstract: Using different unit root statistics and the approach of Tomljanovich and Vogelsang (2002), we test for the existence of stochastic and ß - convergence in the unemployment rates of a set of thirteen European countries. Using quarterly data for the period 1984: 1-2005: 4, we observe that there has taken place a convergence process in the majority of European unemployment rates. This process has become more intense since 1993.
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  • DT N° 2009-006: Quarterly Forecasting Model (MPT)
    • Authors: Department of Macroeconomic Models
    • Language: Spanish
    • Date: April 2009
    • Abstract: This paper describes the Quarterly Forecasting Model (MPT) used at the central bank of Peru for monetary policy simulation and for forecasting key macroeconomic variables. The model version illustrated here corresponds to December 2007. The basic structure of the model parallels a typical textbook neo-keynesian model but is tailored to suit the setup of a small open economy with financial dollarization. The paper shows moment simulations, model responses to various shocks hitting the economy and ends with remarks about the model-based forecasting process at the central bank of Peru.
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  • DT N° 2009-005: Education, Corruption and the Natural Resource Curse
    • Authors: Iván Aldave y Cecilia García-Peñalosa
    • Language: English
    • Date: April 2009
    • Abstract: The empirical evidence on the determinants of growth across countries has found that growth is lower when natural resources are abundant, corruption widespread and educational attainment low. An extensive literature has examined the way in which these three variables can impact growth, but has tended to address them separately. In this paper we argue that corruption and education are interrelated and that both crucially depend on a country’s endowment of natural resources. The key element is the fact that resources affect the relative returns to investing in human and in political capital, and, through these investments, output levels and growth. In this context, inequality plays a key role both as a determinant of the possible equilibria of the economy and as an outcome of the growth process.
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  • DT N° 2009-004: Learning under Fear of Floating
    • Author: Saki Bigio
    • Language: English
    • Date: April 2009
    • Abstract: Cross-country evidence suggests that during recent years a large fraction of developing countries seem to began to overcome fear of floating, i.e., a lower relative volatility of exchange rates to monetary policy instruments. To explain this trend, we build a model that describes the behavior of Central Banks in developing countries under un- certainty and fear of misspeci cation about the effects of exchange rate depreciations. The Central Bank is uncertain about two sub-models which differ in that exchange rate depreciations can cause output either to expand (textbook effect) or contract (balance sheet effect). Optimal policy within the second sub-model is consistent with fear of floating. A feature of fear of foating is that, by preventing sizeable exchange rate swings, Central Banks could loose valuable information useful to distinguish among models. We describe how the Central Bank's the evolution of the prior depends on the optimal policy and viceversa. We conclude that the trend towards less fear of oating may not be explained by Bayesian or robust policies because it would have been too quick to explain the data. However, if there was a parameter change affecting many countries during the early 2000's, the model generates the observed pattern.
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  • DT N° 2009-003: A Dynamic Stochastic General Equilibrium Model with Dollarization for the Peruvian Economy
    • Authors: Paul Castillo, Carlos Montoro y Vicente Tuesta
    • Language: Spanish
    • Date: March 2009
    • Abstract: 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 functions of unit of account, medium of payment and reserve of value; phenomenon known in the economic literature as partial dollarization. We also include certain real, nominal and financial rigidities to replicate the empirical regularities of the Peruvian macroeconomic data. The model reproduces relatively well the main stylized facts of the Peruvian economy. Moreover, we show how dollarization reduces the power of monetary policy to affect output and increase the vulnerability of the economic activity to foreign shocks. Furthermore, we perform some exercises that show the importance of credibility in the actions of the monetary authority to anchor expectations and to reduce deviation in the inflation rate.
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  • DT N° 2009-002: Una nota sobre el crecimiento del crédito al sector privado en el Perú
    • Author: Fabrizio Orrego
    • Language: Spanish
    • Date: January 2009
    • Abstract: El objetivo de este trabajo es profundizar la identificación de los episodios de “auge crediticio” en el Perú. Éste se define como aquel periodo durante el cual el crédito al sector privado se incrementa por encima de lo usual durante una típica fase expansiva del ciclo económico y está asociado a menudo con períodos de turbulencia financiera. En particular, los resultados sugieren que el crecimiento reciente del crédito es robusto, aunque no hay evidencia suficiente de que se trata de un “auge crediticio”. En este sentido, las medidas tomadas en los últimos meses por el Banco Central han contribuido a la sostenibilidad del crecimiento del crédito, en un entorno caracterizado por la desaceleración de la economía mundial.
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  • DT N° 2009-001: Money, Infation and Interest Rate: Does the Link Change when the Policy Instrument Changes?
    • Authors: Paul Castillo, Carlos Montoro y Vicente Tuesta
    • Language: Spanish / English
    • Date: January 2009
    • Abstract: The goal of this paper is to explain a recent regularity observed in economies in which central banks have moved from using a money aggregate as the instrument for the conduction of monetary policy towards a short-term interest rate (for example Peru in 2002). In particular, in those economies we observe that, after the change in the policy instrument, there is a decrease in the macroeconomic volatility accompanied by a reduction in the average level of both inflation and interest rates vis-à-vis an increase in the average level of money aggregates (an increase in the money demand).
      In order to explain the previous stylized fact, a second order solution of a general equilibrium model for a small open economy is evaluated. By analyzing the second order solution we relax the assumption of certainty equivalence which permits consider the role of uncertainty (risk) in the equilibrium solution of the economy. The previous solution takes into account the reduction of macroeconomic uncertainty (risk) as a consequence of changing the instrument (from money aggregates to interest rate rules), helping to explain the stylized fact.
      Our findings show that the use of the interest rate as the instrument for the conduction of monetary policy induces a reduction of macroeconomic risks. In turn, the previous reduction has driven a decrease in the average level of interest rates and inflation which is consistent with the increase in the demand for money observed in Peru in the 2000s. Hence, the recent increase in the growth rate of money aggregates should not be linked, whatsoever, to higher inflation rates.
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2008

  • DT N° 2008-005: Biocombustibles: Desarrollos recientes y su impacto en la balanza comercial, los términos de intercambio y la inflación en el Perú
    • Author: Gladys Choy
    • Language: Spanish
    • Date: March 2008
    • Abstract: El significativo incremento del precio del petróleo en los últimos años (que se ha más que triplicado desde el 2002 alcanzando un nivel record de US$ 100 el barril en diciembre de 2007), así como la mayor preocupación por temas medio ambientales y el calentamiento global, han ido de la mano de un renovado y creciente interés por el uso de los biocombustibles como una fuente de energía alternativa a los combustibles fósiles, que ha llevado también a un incremento significativo de los precios de sus materias primas, principalmente maíz y soya, y de otros alimentos básicos. En este informe se presenta la evolución reciente en el desarrollo de los biocombustibles, se discute las ventajas y desventajas de dicho desarrollo, y se analiza el impacto de las perspectivas del mercado de los biocombustibles sobre la balanza comercial, los términos de intercambio y la inflación.
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  • DT N° 2008004: Optimal Exchange Rate Stabilization in a Dollarized Economy with Inflation Targets
    • Authors: Nicoletta Batini, Paul Levine, Joseph Perlm
    • Language: English
    • Date: February 2008
    • Abstract: We build a small open-economy model with partial dollarization–households hold wealth in domestic currency and a foreign currency as in Felices and Tuesta (2006). The degree of dollarization is endogenous to the extent of exchange rate stabilization by the central bank. We identify the optimal monetary policy response under com-mitment and discretion and assess the optimal degree of exchange rate stabilization inthis set up, drawing policy implications for countries that target inflation in economies of this kind.
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  • DT N° 2008-003: ¿Can Peru be a New Economic Miracle?
    • Author: Raymundo Chirinos
    • Language: Spanish
    • Date: January 2008
    • Abstract: This paper estimates the probability that Peru becomes a new economic miracle. However, since economic theory does not define what exactly an economic miracle is, we must develop a definition based on the top quintile of the distribution of maximum 10-, 15- and 20-year average rates of growth over the period 1961-2002. By using this criterion, we identify 19 “miracle” economies, which will be compared with a similar number of “average” and “disaster” economies. Through a ordered choice model based on a set of initial conditions we determine the probability that Peru lies in the first group over the next 10, 15 and 20 years. The probability that Peru becomes a miracle in the next 10 years is very high; however, the evidence is less conclusive for longer periods.
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  • DT N° 2008-002: Facing up a sudden stop of capital flows: Policy lessons from the 90's peruvian experience
    • Authors: Paul Castillo Bardález y Daniel Barco Rondán
    • Language: English
    • Date: January 2008
    • Abstract: 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 system nor generated an abrupt fall on output. We argue that the large pool of international reserves, the investments on the tradable sector before 1997 and the performance of the fiscal policy during and before the period of financial distress were fundamental to this outcome. We further extract policy lessons and discuss the strengths and the weakness of the Peruvian economy to this type of shocks nowadays.
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  • DT N° 2008-001: Determinants of the size of a monetary policy committee: Theory and cross country evidence
    • Authors: Szilárd Erhart and Jose Luis Vasquez-Paz
    • Language: English
    • Date: January 2008
    • Abstract: Theoretical and empirical studies of different sciences suggest that an optimal committee consists of roughly 5-9 members, although it can swell mildly under specific circumstances. This paper develops a conceptual model in order to analyze the issue in case of monetary policy formulation. The number of monetary policy committee (MPC) size varies according to the size of the monetary zone and overall economic stability. Our conceptual model is backed up with econometric evidence using a 2006 survey of 85 countries. The survey is available for further research and published on the web. The MPC size of large monetary zones (EMU, USA, Japan) is close to the estimated optimal level, but there exist several smaller countries with too many or too few MPC members.
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2007

  • DT N° 2007-019: The payment system intraday liquidity in a dollarized economy: The Peruvian experience
    • Authors: Marylin Choy y Roy Ayllón
    • Language: Spanish
    • Date: December 2007
    • Abstract: The Peruvian financial system is highly dollarized with more than 50 per cent of deposits held in dollars. The structure and operation of the payment system reflect this financial dollarization. Not only does it settle payments in local and foreign currency, but the Intraday Financial Facility (IFF), through which the Central Bank provides liquidity to assure the uninterrupted operation of the payment system, reflects as well the financial system dollarization. Thus, due to the high dollar composition of deposits in the financial system, banks keep large amounts of dollar liquidity at the Central Bank, so as to meet the marginal reserve requirement of 30 per cent, while the lower soles share of deposits as well as the minimum requirement to maintain 1 per cent deposited at the Central Bank, makes the soles liquidity of banks insufficient to settle all the transactions undertaken by the payment system, which for the most part are carried out in local currency, in spite of the financial dollarization. This situation leads the banks to utilize the IFF by means mainly of foreign currency swaps, given the ample availability of dollar liquidity. Nevertheless, the gradual dedollarization and the increasing bankarization are reducing the need to utilize the IFF. It is worth noting that at present not only foreign currency liquidity but also the holdings of Central Bank and Government securities are ensuring that the financial system is able to make use of the IFF and have the excess liquidity in order to settle total payments, both in local and foreign currency, thus enabling the payment system to run smoothly and efficiently.
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  • DT N° 2007-018: The causes and consequences of informality in Peru
    • Author: Norman Loayza
    • Language: Spanish
    • Date: December 2007
    • Abstract: Adopting a legal definition of informality, this article studies the causes of informality in general and with a particular application to Peru. It starts with a discussion on the definition and measures of informality, as well as on the reasons why widespread informality should be of great concern. Then, the article analyzes informality’s main determinants, arguing that informality is not single-caused but results from the combination of poor public services, a burdensome regulatory regime, and weak monitoring and enforcement capacity by the state. This combination is especially explosive when the country suffers from low educational achievement and features demographic pressures and primary production structures. Finally, using cross-country regression analysis, the article evaluates the empirical relevance of each determinant of informality. It then applies the estimated relationships to the case of Peru in order to assess the country-specific relevance of each proposed mechanism.
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  • DT N° 2007-017: The monetary policy transmission mechanism under financial dollarization: the case of Peru 1996-2006
    • Authors: Renzo Rossini and Marco Vega
    • Language: Spanish
    • Date: November 2007
    • Abstract: This paper analyzes the changes in the monetary policy transmission mechanism in Peru. A strong conclusion that emerges from this research is that both, the direct interest rate channel and the expectations channel have become more important in the recent years, especially after the Inflation Targeting adoption. The research further explores the implications of financial dollarization for the practice of monetary policy by performing two exercises. First, it compares different degrees of exchange rate flexibility and finds out that the more flexible the exchange rate is, the quicker but weaker the exchange rate pass-through becomes. Second, since financial dollarization may trigger contractionary depreciations, the document studies implications for monetary policy. The conclusion is that the effectiveness of monetary policy can be further improved if the economy becomes less dollarized.
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  • DT N° 2007-016: Nonlinear Volatility Effects on Growth in Developing Economies
    • Author: Nelson Ramirez-Rondan
    • Language: Spanish
    • Date: September 2007
    • Abstract: The empirical fact prompts a negative relation between economic volatility and output growth in developing countries. Nevertheless, some authors found that economic volatility is further characterized by crisis volatility rather than by regular fluctuations around a trend. Thus, in this study we estimate a threshold model in a panel data technique put out by Hansen (1999) in a sample of 38 developing countries from 1960 to 2000. We find a nonlinear effect between volatility and growth since volatilities superior to 5.1% seem to have significant and negative effect on growth and volatilities inferior to 5.1% don't have significant effect.
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  • DT N° 2007-014: Learning about Monetary Policy Rules when the Cost Channel Matters
    • Authors: Gonzalo Llosa and Vicente Tuesta
    • Language: English
    • Date: August 2007
    • Abstract: We study how determinacy and expectational stability (E-stability) of rational expectations equilibrium may be affected by monetary policy when the cost channel of monetary policy matters. We focus on both instrumental Taylor-type rules and optimal target rules. We show that standard instrument rules can easily induce indeterminacy and expectational instability when the cost channel is present. Overall, a naïve application of the traditional Taylor principle in this setting could be misleading. Regarding optimal rules, we find that "expectational-based rules" do not always induce determinate and E-stable equilibrium. This result stands in contrast to the findings of Evans and Honkapohja (2003) for the baseline "New Keynesian" model. Yet, a policy that it is a source of instability under learning in the baseline new keynesian model, i.e. "fundamental rule" under commitment, is a possible antidote when the cost channel is active.
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    • Published in the Journal of Economic Dynamics and Control.
  • DT N° 2007-013: Determinants of economic growth: A survey of recent developments and empirical evidence for the period 1960-2000
    • Author: Raymundo Chirinos
    • Language: Spanish
    • Date: August 2007
    • Abstract: This paper surveys recent developments in the empirical literature on economic growth as well as presents own estimates on the determinants of growth for the period 1960-2000. The latter is made by standardizing the set of control variables usually included in panel data regressions -those derived from the steady state in the Solow-Swan model-. We find that there is no a single determinant of growth; among the determinants there are policy variables such as macroeconomic stability, provision of credit to the private sector and the degree of institutional development; and exogenous variables such as terms of trade and geographical features -latitude and land locking-. The paper also shows that the conditional convergence hypothesis hold and finds a rate of convergence similar to prior studies.
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  • DT N° 2007-011: Structural Fiscal Rules and The Business Cycle
    • Authors: Carlos Montoro and Eduardo Moreno
    • Language: Spanish  
    • Date: August 2007
    • Abstract: In this paper we extend the neoclassical model presented by Baxter and King (1993) to evaluate the effects of two alternative fiscal policy rules on the business cycle. The rules we analyze are similar to those implemented in practice by some countries, such as: limits to the structural fiscal deficit (which eliminates the effects of the business cycle on the government revenues) and limits to conventional fiscal deficit. We focus our analysis in a model calibrated to mimic Peruvian data to evaluate the short run dynamics and the conditions for the stability of the equilibrium. We find that the rule based on the structural balance generates a counter cyclical fiscal policy, which reduces significantly output volatility. Moreover, we find that a condition for a determinate equilibrium in the model endowed with the structural rule is that non-financial government expenditures react more than one–to-one to changes in interest expenditures.
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  • DT N° 2007-010: Oil Shocks and Optimal Monetary Policy
    • Author: Carlos Montoro
    • Language: English
    • Date: August 2007
    • Abstract: This paper investigates how monetary policy should react to oil shocks in a microfounded model with staggered price-setting and oil as a non-produced input in the production function. We extend Benigno and Woodford (2005) to obtain a second order approximation to the expected utility of the representative household when the steady state is distorted and the economy is hit by oil price shocks.
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    • Accepted in the Journal of Macroeconomic Dynamics.
  • DT N° 2007-008: Efficiency of the Monetary Policy and Stability of Central Bank Preferences. Empirical Evidence for Peru
    • Author: Gabriel Rodriguez
    • Language: English
    • Date: May 2007
    • Abstract: Following the approach suggested by Favero and Rovelli (2003), I estimate a three-equations system for different sub-samples for Peru. The results indicate that the preferences of the monetary authority have changed between the diffeerent regimes. In particular, the parameter associated to the implicit target of in‡ation has been reduced significantly. The macroeconomic conditions from the side of the aggregate demand have been more favorable than those related to the aggregate supply. The standard deviation of the monetary rule suggests that it has been conducted successfully in the last regime.
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  • DT N° 2007-007: Application of Three Alternative Approaches to Identify Business Cycles in Peru
    • Author: Gabriel Rodriguez
    • Language: English
    • Date: May 2007
    • Abstract: Three alternative econometric approaches are used to estimate business cycles in the Peruvian economy. These approaches are the Plucking model due to Friedman (1964, 1993), the Markov Switching model proposed by Hamilton (1989) and the Smooth Transition Autoregressive (STAR) model suggested by Teräsvirta (1994). The results show strong rejection of the null hypothesis of linearity, presence of asymmetries and nonlinearities. Furthermore, the methods allow to find the principal episodes of recession for the Peruvian economy.
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    • Accepted in the Journal of Business Cycle Measurement and Analisis.
  • DT N° 2007-006: Monetary Policy in a Dual Currency Environment
    • Authors: Guillermo Felices, Vicente Tuesta
    • Language: English
    • Date: April 2007
    • Abstract: We develop a small open economy general equilibrium model with sticky prices and partial dollarization - a situation where both domestic and foreign currencies coexist. We derive a tractable representation of the model in terms of domestic in‡flation and the output gap in which a trade-off, which depends on the degree of dollarization, arises endogenously due to the presence of foreign interest rate shocks. We use this framework to show analytically how higher degrees of dollarization induce larger volatilities of the output gap and in‡flation, thus hampering a central bank’s effectiveness in stabilizing the economy. Our impulse-response functions show that the transmission of such shocks has a positive (negative) effect on in‡flation and negative (positive) effect on the output gap when money aggregates and consumption are complements (substitutes). We also show that a standard Taylor rule guarantees real determinacy of the rational expectations equilibrium. Finally, we demonstrate that a higher degree of dollarization reduces the determinacy region when the overall money aggregate and consumption are substitutes.
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  • DT N° 2007-005: Monetary Policy, Regime Shift and Inflation Uncertainty in Peru (1949-2006)
    • Authors: Paul Castillo, Alberto Humala, Vicente Tuesta
    • Language: English
    • Date: March 2007
    • Abstract: 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.
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  • DT N° 2007-004: Dollarization Persistence and Individual Heterogeneity (1949-2006)
    • Authors: Paul Castillo, Diego Winkelried
    • Language: English
    • Date: March 2007
    • Abstract: The most salient feature of financial dollarization, and the one that causes more concern to policy makers, is its persistence: even after successful macroeconomic stabilizations, dollarization ratios often remain high. In this paper we claim that this persistence is connected to the fact that the participants in the dollar deposit market are fairly heterogenous, and so is the way they form their optimal currency portfolio.We develop as simple model when agents differ in their ability to process information, which turns out to be enough to generate persistence up on aggregation. We find empirical support for this claim with data from three Latin American countries and Poland.
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    • Accepted in the Journal of International Money and Finance.
  • DT N° 2007-003: Why Central Banks Smooth Interest Rates? A Political Economy Explanation
    • Author: Carlos Montoro
    • Language: English
    • Date: March 2007
    • Abstract: We extend the New Keynesian Monetary Policy literature relaxing the assumption that the decisions are taken by a single policymaker, considering instead that monetary policy decisions are taken collectively in a committee. We introduce a Monetary Policy Committee (MPC), whose members have different preferences between output and inflation variability and have to vote on the level of the interest rate. This paper helps to explain interest rate smoothing from a political economy point of view, in which MPC members face a bargaining problem on the level of the interest rate. In this framework, the interest rate is a non-linear reaction function on the lagged interest rate and the expected inflation. This result comes from a political equilibrium in which there is a strategic behavior of the agenda setter with respect to the rest of MPC’s members. Our approach can also reproduce both features documented by the empirical evidence on interest rate smoothing: a) the modest response of the interest rate to inflation and output gap, and b) the dependence on lagged interest rate, features that are difficult to reproduce altogether in standard New Keynesian models. It also provides a theoretical framework on how disagreement among policymakers can slow down the adjustment on interest rates and on “menu costs” in interest rate decisions. Furthermore, a numerical exercise shows that this inertial behavior of the interest rate is internalized by economic agents through an increase in expected inflation.
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  • DT N° 2007-002: Comercio y crecimiento: Una revisión de la hipótesis "Aprendizaje por las Exportaciones"
    • Author: Raymundo Chirinos
    • Language: Spanish
    • Date: February 2007
    • Abstract: This paper examines the relationship between trade and growth through the learning-by-exporting mechanism. According to the hypothesis underlying this mechanism, the more a country exports, productivity also increases, which leads to higher rates of growth of the output. A theoretical model supporting this hypothesis is offered here by adapting the Ramsey-Cass-Koopmans model to an open economy where per capita exports are used as the transmission channel of technology. Empirical evidence supporting this mechanism in a wide sample of developing countries is also presented here by means of a panel data model.
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  • DT N° 2007-001: Perú: Grado de inversión, un reto de corto plazo
    • Author: Gladys Choy Chong
    • Language: Spanish
    • Date: January 2007
    • Abstract: This paper is aimed at analyzing the criteria used by credit rating agencies to assign different credit ratings and at evaluating the factors that restrain Peru from obtaining an investment grade. Typically, the sovereign rating expresses an opinion, based on both quantitative (macroeconomic indicators) and qualitative indicators (political and institutional risks), about a government’s disposition and ability to duly repay all of its financial obligations. Several agencies coincide in rating some countries with an investment grade rating. While S&P and Fitch are stricter than Moody´s in rating countries with an investment grade, Moody’s is stricter with countries rated with a speculative grade. In recent years the Peruvian economy has improved significantly and even at a faster pace in terms of growth, inflation and vulnerability ratios than many of Peru’s peer-countries. Factors restraining the country from obtaining a better credit rating include the economy’s high dependence on commodities, but the low concentration of exports and their relatively higher “diversification” are not taken into account. As regards the external debt, although the weight of the debt is still significant, important efforts have been made to reduce it. Together with the expansion of the tax base and a better management of government spending, this will contribute to improve fiscal flexibility. Another factor considered is the high level of dollarization in the economy. The best way to reduce it is through the persistence of low levels of inflation, an aspect in which Peru is performing even better than economies rated with an investment grade. Along with its significant level of NIRs, the country’s low levels of inflation constitute the best coverage against this risk. In order to overcome some of the institutional deficiencies and political limitations, the government should promote a reform in the system of law and justice, gradually reduce the informal sector, and strengthen institutions and the political levels of government. This important progress in macroeconomic terms has been more extendedly recognized by Fitch and S&P, and contrasts widely with Moody’s maintaining the rating assigned to Peru. It seems quite evident that Moody’s decision is based on the high weight attributed to the Peruvian debt in foreign currency and the degree of dollarization in the economy, rather than on the favorable evolution of macroeconomic indicators, such as the highly significant accumulation of international reserves, which is an indicator of improvement that cannot be denied.
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2006

  • DT N° 2006-010: Dolarización financiera, el enfoque de portafolio y expectativas: Evidencia para América Latina(1995-2005)
    • Author: Sánchez, Alan
    • Language: Spanish
    • Date: October 2006
    • Abstract: El objetivo de este trabajo es evaluar en qué medida la dolarización financiera en América Latina puede ser explicada por el enfoque de portafolio de varianza mínima (PVM) propuesto por Ize y Levi Yeyati (2003). En tanto el proceso de optimización de portafolio es sensible a los supuestos considerados para la construcción de la matriz de varianzas y covarianzas, se utilizan diversas alternativas para estimar la volatilidad esperada a partir de datos históricos y se analiza qué ocurre cuando se le da un menor peso a las observaciones más distantes en el tiempo (pasando de memorialarga a memoriacorta).} El principal hallazgo es que, si se distingue entre países altamente dolarizados (AD) y el resto de países de América Latina, el PVM explica hasta un tercio de los cambios en el segundo grupo sólo si se asume memoria larga, mientras que para países AD (por ejemplo, Perú y Bolivia) la capacidad explicativa del PVM, aunque también asociada a memoria larga, es mínima. En particular, una reducción en la volatilidad relativa no causa cambios en la dolarización observada de este grupo de países (efecto asimétrico). Estos resultados sugieren que las consideraciones de portafolio, aunque presentes, son menos importantes para economías AD, y muestran la relevancia de la historia pasada para explicar la persistencia de la dolarización.
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  • DT N° 2006-009: Exchange Rate Pass-Through and Monetary Policy: Evindence from OECD countries
    • Authors: César Carrera, Mahir Binici
    • Language: Spanish
    • Date: October 2006
    • Abstract: We provide an empirical analysis about the relationship between exchange rate and different price indexes for each OECD country. We were focused on how different inflation environments could explain a decreasing degree of the exchange rate pass-through over prices in each country. In a second stage, we estimate the relationship between pass-through and prices using individual-country pass-through. We find evidence in favor of the hypothesis that the exchange rate pass-through is lower when it is taken into account environments in which it is observed lower and stables rates of inflation, result which would be associated with a more effective monetary policy in terms of transparency and inflation control.
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  • DT N° 2006-008: Efectos no lineales de choques de política monetaria y de tipo de cambio real en economías parcialmente dolarizadas: un análisis empírico para el Perú
    • Authors: Saki Bigio, Jorge Salas
    • Language: Spanish
    • Date: August 2006
    • Abstract: En este trabajo se explora si variaciones en la posición de política monetaria y en el tipo decambio real generan efectos no lineales sobre el producto y la inflación en una economíaparcialmente dolarizada como la peruana. Para ello, se estima un modelo VAR de Transición Suavey se reportan funciones de impulso-respuesta para choques de distinto tamaño y signo, así como para distintos niveles iniciales de la brecha del producto. Se encuentran evidencias de no linealidades ante choques de política monetaria, las cualesindicarían la convexidad de la curva de oferta agregada. En particular, se halla que la políticamonetaria afecta más fuertemente al producto durante etapas de bajo crecimiento, mientras que, al contrario, la respuesta de la inflación es mayor en la fase positiva del ciclo económico. En relacióna los choques del tipo de cambio real, se muestra que las depreciaciones tienen efectos contractivos de corto plazo más negativos durante las recesiones y un mayor traspaso a la inflación en etapas de alto crecimiento. La evidencia encontrada acerca de otros efectos no lineales derivados de estos choques se discute en el documento.
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  • DT N° 2006-007: Corruption and Development Indicators: An Empirical Review
    • Authors: Saki Bigio, Nelson Ramírez-Rondán
    • Language: Spanish
    • Date: June 2006
    • Abstract: In this paper we report international evidence on the relationship between corruption and several development indicators such as economic stability, quality in educational expenditures, fiscal income, inequality, investment and economic growth. We first show how this relationship is negative by presenting simple unconditional correlations between corruption and these indicators. We then procede to quantify the effects of corruption on growth: we estimate a Dynamic Panel Data model for a sample of 80 countries and taking 1960-2000 as our sample period. Our findings suggest that in improvement in corruption indicators from levels in Latina America and Africa to developed country standards would increase output growth in 0,5% and 0,7% respectively.
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  • DT N° 2006-006: The Equilibrium Real Exchange Rate in Peru: BEER Models and Confidence Band Building
    • Authors: Jesús Ferreyra and Jorge Salas
    • Language: Spanish
    • Date: June 2006
    • Abstract: This paper uses the "Behavioral Equilibrium Exchange Rate" (BEER) approach to estimate the equilibrium real exchange rate (RER) for Peru. A bootstrap technique is then employed to build confidence bands for the equilibrium path, so that it is possible to determine whether exchange rate misalignments are statistically significant. Additionally, structural breaks are modeled in the long-run relationship between the RER and its fundamentals. Using quarterly data for 1980.I-2005.III, the authors find that the long-run behavior of the Peruvian RER is explained by the following fundamentals: net foreign liabilities, terms of trade, and, less conclusively, government expenditure and openness. Moreover, the ratio of tradable to non-tradable sector productivities, both in domestic terms and relative to trading partners, appears as an additional RER fundamental only since the 1990s. Finally, there is evidence of some statistically significant RER misalignment episodes over the analyzed period.
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  • DT N° 2006-005: Stylized Facts of the Peruvian Economy
    • Authors: Paul Castillo, Carlos Montoro and Vicente Tuesta
    • Language: Spanish
    • Date: June 2006
    • Abstract: 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 has changed in important ways. In particular, we observe during the last period (1994-2005) in comparison with the previous period (1980-1993): a reduction of almost 4 times in volatility of output and its main components, a higher correlation of the business cycle with terms of trade, a less pro-cyclical fiscal policy, and since 2002, a higher importance of the interest rates on business cycle and inflation fluctuations.
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  • DT N° 2006-004: Credit Cost in Peru
    • Author: Management of Financial Stability
    • Language: Spanish
    • Date: June 2006
    • Abstract: This paper evaluates from a microeconomic perspective the lending cost determinants in the Peruvian banking system in the June 2004-December 2005 period. The evaluation considers the credit market segments identified in a prior study (published in 2002). Furthermore, it reviews the progress occurred in the financial system infrastructure –asymmetric information, credit risk assessing technologies, competitive structure, and credit guarantees performance– in the aforementioned period. The paper also contains a set of “study cases” that contributes to a better understanding of the credit market dynamics. We found evidence that supports the presence of a higher level of competition in every market segment, especially for that of corporate borrowers. Finally, the paper suggests a set of policies to further reduce the cost of credit.
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  • DT N° 2006-003: Measuring the Natural Interest Rate for the Peruvian Economy
    • Authors: Paul Castillo, Carlos Montoro and Vicente Tuesta
    • Language: Spanish
    • Date: June 2006
    • Abstract: 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 1994 and 1997, tight between 1998 and 2001, and slightly loose between 2002-2005. Finally, the variance decomposition shows that 25 percent of fluctuations in the gap are explained by fluctuations in the NIR. According to this, a time-fixed NIR would give a quite imprecise measure of monetary policy stance.
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  • DT N° 2006-002: Depreciation expectations and interest rate differentials: Are there regime switches? The Peruvian case
    • Author: Alberto Humala
    • Language: Spanish
    • Date: May 2006
    • Abstract: This paper presents an econometric assessment of the uncovered interest parity (UIP) for Peruvian financial instruments and documents the main empirical regularities in this relationship. The information contents of interest rate differentials about depreciation expectations are assessed under different econometric specifications. In the case of Peru, linear approximations along with periods of relatively high expected inflation suggest that UIP would hold on average over the short term (contrary to international evidence). Alternatively, with price-stability periods (as in a fully-fledged inflation targeting scheme), linear representations show opposite evidence to UIP. When both scenarios are included over a given sample size, regime switching models distinguish between periods consistent with UIP and those periods in which UIP is not so relevant. In particular, Markov switching models signal the importance of foreign exchange volatility to assess UIP validity.
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  • DT N° 2006-001: ¿Cambia la Inflación Cuando los Países Adoptan Metas Explícitas de Inflación?
    • Authors: Marco Vega and Diego Winkelried
    • Language: Spanish
    • Date: March 2006
    • Abstract: Este trabajo revisa la evidencia existente sobre el impacto de la adopción del esquema de metas explícitas de inflación (MEI) sobre la dinámica de la inflación. En particular, se reporta la evaluación econométrica de Vega y Winkelried (2005) y se compara sus resultados con aquellos obtenidos de estudios recientes sobre la materia. Un resultado general de esta revisión es que los efectos sobre la inflación son leves o estadísticamente no significativos cuando un país desarrollado es quien adopta el esquema MEI mientras que los efectos son bastante beneficioso cuando un país en desarrollo es quien adopta el esquema.
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    • Extended version published in the International Journal of Central Banking.
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2005

  • DT N° 2005-008: El efecto traspaso de la tasa de interés y la política monetaria en el Perú: 1995-2004
    • Author: Erick Lahura
    • Language: Spanish
    • Date: December 2005
    • Abstract: El propósito del presente trabajo es investigar el efecto traspaso (pass-through) de la tasa de interés interbancaria sobre las tasas de interés en moneda doméstica y su relación con la política monetaria en el Perú, considerando el período 1995-2004. Específicamente, se evalúan las siguientes hipótesis: (a) el traspaso de largo plazo es aún incompleto; sin embargo, se ha incrementado luego del anuncio del corredor de tasas de interés de referencia (febrero de 2001) y se ha reforzado con la adopción del esquema de metas explícitas de inflación (enero de 2002) o MEI; (b) el anuncio del corredor de tasas de interés por parte del banco central ha incrementado la velocidad de ajuste de las tasas de mercado ante cambios en la tasa de referencia; y (c) en el corto plazo, las tasas de interés de mercado responden asimétricamente cuando la tasa de interés de referencia sube o baja. Las hipótesis fueron evaluadas a través de un modelo de corrección de errores no lineal-asimétrico. Los resultados de las estimaciones muestran evidencia a favor de las hipótesis planteadas. De esta manera, se puede inferir que la política monetaria ha mostrado una evolución favorable en términos de su impacto sobre las tasas de interés de mercado, desde el anuncio del corredor de referencia y con la adopción del esquema MEI.
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  • DT N° 2005-007: A BVAR Forecasting Model For Peruvian Inflation
    • Authors: Gonzalo Llosa, Vicente Tuesta and Marco Vega
    • Language: English, Spanish
    • Date: November 2005
    • Abstract: We build a simple non-structural BVAR forecasting framework to predict key Peruvian macroeconomic data, in particular, inflation and output. Unlike standard applications we build our Litterman prior specification based on the fact that the structure driving the dynamics of the economy might have shifted towards a state where a clear nominal anchor has become well grounded (Inflation Targeting). We compare different BVAR specifications with respect to a ”naive” random walk and we find that they outperform the random walk in terms of inflation forecasts at all horizons. However, our PBI forecasts are not accurate enough to beat a ”naive” random walk.
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  • DT N° 2005-006: Disaggregated Forecasts for Consumer Price Index (CPI), Producer Price Index (PPI) & Gross Domestic Product (GDP) Changes
    • Author: Carlos R. Barrera Chaupis
    • Language: Spanish
    • Date: November 2005
    • Abstract: This work evaluates the ex post forecasts precision of a set of short term models for the Consumer Price Index (CPI), the Producer Price Index (PPI) and the Gross Domestic Product (GDP) using a recent sample of Peruvian data. We seek to determine whether adding disaggregated information at the level of components improves the forecast precision of the those models. Short term projections constitute an integral part of any forecasting system since those are usually used as starting points for projections made using structural models. In that sense more precise short-term projections help to minimize the forecast errors of medium term models. We find that using disaggregated data improves the forecast precision of the CPI in the very short run but not that of the PPI and the GDP for the same time horizon, even when we use time-varying parameter dynamic models. Finally for forecast time horizons higher than 12 months the forecast precision of models for these three indexes can not be improved using disaggregated data.
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  • DT N° 2005-005: Inflation crisis and the total factor productivity in Latin America
    • Authors: Nelson R. Ramírez Rondán and Juan C. Aquino Chávez
    • Language: Spanish
    • Date: March 2005
    • Abstract: In this paper we analyze the long-run effects of inflation crises periods over Total Factor Productivity (TFP) growth for 18 Latin American countries during the 1961-2000 period, using the Generalized Method of Moments (GMM) in a dynamic panel data model. We find that there are non-linear effects of inflation over TFP growth, that is: high inflation levels have a negative effect on productivity growth (what is in line with endogenous-growth models), whereas lower inflation periods do not have permanent effects over productivity growth (what is in line with predictions of monetary theory). Additionally, we also find that inflation volatility has negative effects on TFP growth. Moreover, our results are robust to a set of control variables, such as supply shocks, trade openness and fiscal burden.
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  • DT N° 2005-004: Using additional information in estimating the output gap in Peru: a multivariate unobserved component approach
    • Authors: Gonzalo Llosa and Shirley Miller
    • Language: English, Spanish
    • Date: March 2005
    • Abstract: One of the key elements for inflation targeting regime is the right identification of inflationary or disinflationary pressures through the output gap. In this paper we provide an estimation of the Peruvian output gap using a multivariate unobserved component (MUC) model, relying on an explicit short run relation between the output gap and inflation rate (Phillips Curve) and structural restrictions over output dynamics. The results show that the MUC output gap estimate is less sensible to end of sample problems and exhibits closer dynamics with the inflation process than the standard output gap estimates.
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  • DT N° 2005-003: The effects of minimum wages on the Peruvian Labour Market
    • Author: Nikita R. Céspedes Reynaga
    • Language: Spanish
    • Date: March 2005
    • Abstract: This study shows evidence of the impact of the Minimum Wage (MW) in Peru. We have found a negative relationship between formal employment and the MW, the employment-MW elasticity is around –0,13. Consistent with this result, in a context in which a legal increase of the MW takes place, the probability of staying occupied is smaller among low-income individuals. We also have found evidence that support the hypothesis that the MW is a referent to wage formation in the formal sector. Additionally, there is evidence that the increase in the MW in Peru in September 2003 had distributional effects in favour of low-income workers.
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  • DT N° 2005-002: Can fluctuations in the consumption-wealth ratio help to predict exchange rates?
    • Authors: Jorge Selaive and Vicente Tuesta
    • Language: English
    • Date: January 2005
    • Abstract: It is well documented that macroeconomic fundamentals are little help in predicting changes in nominal exchange rates compared to the predictions made by a simple random walk. Lettau and Ludvigson (2001) find that fluctuations in the common long-term trend in consumption, asset wealth, and labor income (hereby, consumption-wealth ratio) is a strong predictor of the excess returns. In this paper, we study the role of the consumption-wealth ratio in predicting the change in the nominal exchange rate of a large set of countries. We find evidence that fluctuations in the consumption-wealth ratio help to predict in-sample all the currencies. In terms of out-of-sample forecasts, our results suggest that the consumption-wealth ratio may play a significant role at predicting the Canadian dollar at all horizons and at short-intermediate horizons for some currencies.
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  • DT N° 2005-001: How does a global disinflation drag inflation in small open economies?
    • Authors: Marco Vega and Diego Winkelried
    • Language: English
    • Date: January 2005
    • Abstract: This paper shows how persistent world inflation shocks hitting a small open economy can re-weight the importance of domestic and foreign factors in the determination of prices. In particular, we study why a global disinflation environment may imply a weakening of the channels whereby domestic shocks affect inflation. We derive a state-dependent Phillips curve based on translog preferences that make the elasticity of substitution of domestic goods sensitive to foreign prices. With this approach we are able to replicate this dragging effect of global disinflation on domestic inflation. We also provide empirical evidence from a wide panel of countries to support the significance of such an effect.
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