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

2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | 1997

2012

  • DT N° 2012-05: Measuring the Effects of Monetary Policy Using Market Expectations
    • Author: Erick Lahura
    • Language: English
    • Date: January 2012
    • 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.
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  • DT N° 2012-04: Estimating Information Rigidity using Firms’ Survey Data
    • Author: César Carrera
    • Language: English
    • Date: January 2012
    • Abstract: The slope of the sticky information Phillips curve proposed by Mankiw and Reis (2002) is based on the degree of information rigidity on the part of firms. Carroll (2003) uses an epidemiology model of expectations and finds evidence for the U.S. of a one-year lag in the transmission of information from professional forecasters to households. Using financial institutions‟ and firms‟ survey data from Peru and the model proposed by Carroll, I estimate the degree of information rigidity for the Peruvian economy. This paper also considers heterogeneous responses and explores the cross-sectional dimension of these survey forecasts. I find that the degree of information stickiness is such that it takes between one and three quarters for updating information, a result that is robust to different specifications.
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  • DT N° 2012-03: Employment Protection and Business Cycles in Emerging Economies
    • Authors: Ruy Lama and Carlos Urrutia
    • Language: English
    • Date: January 2012
    • Abstract: We build a small open economy, real business cycle model with labor market frictions to evaluate the role of employment protection in shaping business cycles in emerging economies. The model features matching frictions and an endogenous selection effect by which inefficient jobs are destroyed in recessions. In a quantitative version of the model calibrated to the Mexican economy we find that reducing separation costs to a level consistent with developed economies would reduce output volatility by 15 percent. We also use the model to analyze the Mexican crisis episode of 2008 and conclude that an economy with lower separation costs would have experienced a smaller drop in output and in measured total factor productivity with no significant change in aggregate employment.
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  • DT N° 2012-02: Financial Frictions and the Interest-Rate Differential in a Dollarized Economy
    • Author: Hugo Vega
    • Language: English
    • Date: January 2012
    • Abstract: This paper presents a partial equilibrium characterization of the credit market in an economy with partial …financial dollarization. Financial frictions, in the form of costly state veri…cation and banking regulation restrictions, are introduced and their impact on lending and deposit interest rates denominated in domestic and foreign currency studied. The analysis shows that reserve requirements act as a tax that leads banks to decrease deposit rates, while the wedge between foreign and domestic currency lending rates is decreasing in exchange rate volatility and increasing in the degree of correlation between entrepreneur’s returns and the exchange rate.
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  • DT N° 2012-01: Impact of Juntos program on early nutrition
    • Authors: Alan Sánchez and Miguel Jaramillo Baanante
    • Language: Spanish
    • Date: January 2012
    • Abstract: An extensive literature suggests that early nutritional deficiencies have long-term implications on human capital accumulation and labor market productivity. Cash conditional transfer programs that target poor families have the potential of providing long-term benefits to those benefited early in life. This study explores the impact of Juntos, a large-scale cash conditional transfer program operating in Peru since 2005, on the nutritional status of children below the age of five years. Due to the non-experimental nature of the program, two methodologies are applied: (a) propensity score matching and diff-in-diff propensity score matching; and, (b) estimations with district and maternal fixed effects. Results suggest that the program reduced the prevalence of extreme undernutrition. In addition, conditional on being a recipient of the program, positive effects on nutritional status are found due to the length of the exposition for children with relatively well educated mothers.
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2011

  • DT N° 2011-23: Decisiones de Inversión en Empresas con Dolarización Financiera
    • Author: Pablo J. Azabache La Torre
    • Language: Spanish
    • Date: December 2011
    • Abstract: El objetivo de esta investigación es evaluar el efecto hoja de balance en la economía peruana. Para ello, se utilizó información contable, para el periodo 1998-2009, de 114 empresas del sector real. En una primera etapa, se estimaron diversas especificaciones sin incluir variables de control del efecto competitividad, lo que permitió determinar qué efecto es mayor: el efecto competitividad (positivo) o el efecto patrimonio (negativo). Se encontró un efecto hoja de balance negativo y estadísticamente significativo, lo que da evidencia que el efecto patrimonio fue mayor que el efecto competitividad. Es decir, después de una depreciación real las empresas que mantienen deuda en dólares invierten relativamente menos que las empresas que sólo mantienen deuda en moneda nacional. Estos resultados son robustos al método de estimación y a la inclusión de variables de control que miden el impacto de otros choques macroeconómicos, alternativos al tipo de cambio. En una segunda etapa, se incluyó controles del efecto competitividad, lo que permitió estimar el efecto patrimonio y el efecto competitividad por separado. Los resultados muestran un efecto patrimonio negativo y un efecto competitividad positivo, ambos estadísticamente significativos.
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  • DT N° 2011-22: Dedollarization and financial robustness
    • Authors: Rocio Gondo and Fabrizio Orrego
    • Language: English
    • Date: December 2011
    • Abstract: This paper evaluates the qualitative and quantitative implications of financial dedollarization of firms' liabilities on real aggregates in a small open economy model. We extend the standard Cespedes, Chang, and Velasco (2004) model by allowing entrepreneurs borrow in both foreign and domestic currency so as to finance firms' capital needs. A real depreciation reduces the value of firms' net worth whenever there is a currency mismatch in their balance sheets. Under flexible exchange rates, a lower degree of dollarization lessens the negative impact on output and investment, since there is a smaller increase in the cost of external borrowing. The quantitative results show that the balance sheet channel accounts for about 70 percent of the output and investment drop in Peru following the Russian Crisis, and a reduction in debt dollarization would have reduced output drop in 0.9 percentage points of GDP.
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  • DT N° 2011-21: Pobreza y crecimiento económico: tendencias durante la década del 2000
    • Authors: Juan García and Nikita Céspedes
    • Language: Spanish
    • Date: December 2011
    • Abstract: We study the relationship between economic growth and poverty in Peru during the 2000´s. After applying several methodologies, we found evidence that support the claim that the economic growth in this decade was pro-poor.
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  • DT N° 2011-20: Remesas, Desarrollo Económico y Bienestar en el Perú
    • Author: Nikita Céspedes
    • Language: Spanish
    • Date: December 2011
    • Abstract: The document assesses the impact of remittances over a set of economic indicators for Peru. The constant growth of this flow of resources over the past two decades motivates this study. We measure the contribution of remittances in three areas: economic growth, poverty and hours worked. We found that the remittances have contributed significantly to the economic growth. Likewise, since migrants are mostly educated (in relative terms), remittances contribute marginally in reducing poverty. Finally, remittances reduce the hours of work.
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  • DT N° 2011-19: Wavelet-based Core Inflation Measures: Evidence from Peru
    • Authors: Erick Lahura and Marco Vega
    • Language: English
    • Date: December 2011
    • Abstract: Under inflation targeting and other related monetary policy regimes, the identification of non-transitory in ation and forecasts about future inflation constitute key ingredients for monetary policy decisions. In practice, central banks perform these tasks using so-called "core inflation measures". In this paper we construct alternative core inflation measures using wavelet functions and multiresolution analysis (MRA), and then evaluate their relevance for monetary policy. The construction of wavelet-based core inflation measures (WIMs) is relatively new in the literature and their assessment has not been addressed formally, this paper being the first attempt to perform both tasks for the case of Peru. Another main contribution of this paper is that it proposes a VAR-based long-run criterion as an alternative criteria for evaluating core inflation measures. Evidence from Peru shows that WIMs are superior to official core inflation in terms of both the proposed criterion and forecast-based criteria.
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  • DT N° 2011-18: An Empirical Analysis of the Credit-Output Relationship: Evidence from Peru
    • Author: Erick Lahura
    • Language: English
    • Date: December 2011
    • Abstract: This paper investigates the empirical relationship between credit and output in Peru. The analysis is based on the estimation of vector error correction models and the identification of structural shocks. The models considered include real output, real credit growth (in domestic currency, foreign currency and both), and terms of trade. Using quarterly data for the period 1994-2011, the results suggest that real credit growth contain useful information to understand the evolution of the non-deterministic component of real output. In particular, the results show that: (i) there exist a stable long-run relationship between real credit growth, output and terms of trade, (ii) real credit growth is useful in forecasting output in the long-run, and (iii) a structural permanent shock in real credit has positive permanent effects on output. Therefore, credit aggregates could be useful as indicator variables for policymakers.
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  • DT N° 2011-17: Early Nutrition and Cognition in Peru: A Within-Sibling Investigation
    • Authors: Ingo Outes, Catherine Porter, Alan Sanchez and Javier Escobal
    • Language: English
    • Date: December 2011
    • Abstract: An extensive literature documents linkages between early nutritional deficiencies and reduced cognitive ability, educational attainment and, ultimately, lower labor market performance. Few of these studies, however, have shown these correlations to be genuinely causal. We reexamine the nutrition and cognition link, applying instrumental variable methods to a sibling-difference specification for a sample of Peruvian pre-school children. We use household shocks and food price changes as instruments. As such our analysis also quantifies the nutritional and cognitive costs of the 2006-08 global food price crisis. We find that there are significant and negative cognitive effects of early childhood nutritional disinvestments: a decrease in Height-for-Age z-score leads to a reduction in the Peabody Picture Vocabulary Test score of 17-21 percent. The accumulated deficits are sizeable considering that these children are only 3-6 years old and are yet to enroll in formal schooling, with deficits likely to widen in later years.
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  • DT N° 2011-16: Incertidumbre Global sobre el Pacífico Sur
    • Authors: Yan Carrière-Swallow and Carlos Medel Vera
    • Language: Spanish
    • Date: November 2011
    • Abstract: According to a growing literature, sudden increases in financial uncertainty trigger drops in economic activity around the world. Existing models suggest that these effects are likely to differ across sectors of the economy. In this paper, we estimate the impact of global uncertainty shocks on sectors of the Chilean and Peruvian economies. Using vector autoregressions, we find that these shocks are responsible for a fall in GDP of 1.7 and 1.0% with respect to trend, respectively. At the sectorial level in Chile, the largest fall on the supply side is estimated to take place in construction (-4.0%), while on the demand side durable-goods consumption (-7.0%) and investment in plant and equipment (-10.0%) are hardest hit. For Peru, the drop in demand is primarily estimated to take place in private investment (-6.0%), while manufacturing (-4.0%) sees the largest fall on the supply side.
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  • DT N° 2011-15: No-linealidades y asimetrías en el crédito peruano
    • Author: Walter Bazán
    • Language: Spanish
    • Date: September 2011
    • Abstract: The purpose of this paper is to identify the non-lineal and asymmetric behavior of the banking credit for the case of Peru during 1994 - 2010. These characteristics are important because monetary policy, financial regulation, and business strategies from the part of the banks change according to the state of the economy. To this purpose, I use two-regime models: LSTAR and Markov Switching. Both of them identify the contraction state during 1999-2004. For these years, the probability of transition in between regimes may be related to the recessive impact of international crises. These results show that the expansionary regime is harsher, the series does not have a long memory, and its adjustment to different type of shocks is relatively faster.
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  • DT N° 2011-14: Sequential incompleteness and dynamic suboptimality in stochastic OLG economies with production
    • Author: Fabrizio Orrego
    • Language: English
    • Date: August 2011
    • Abstract: I study a stochastic overlapping generations model with production and three-period- lived agents. Agents trade bonds and risky capital. Unlike the two-period model, I show that a stationary equilibrium in which prices and allocations depend solely on the aggregate capital stock and the current shock does not exist. The recursive equilibrium becomes the relevant equilibrium concept.
      For the recursive formulation of the model, markets are sequentially incomplete and hence I show that there is room for Pareto improvements in terms of intergenerational risk sharing. Finally, I examine whether the introduction of capital income taxation improves the allocation of risk.
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  • DT N° 2011-13: Habit formation and sunspots in overlapping generations models
    • Author: Fabrizio Orrego
    • Language: English
    • Date: August 2011
    • Abstract: I introduce habit formation into an otherwise standard overlapping generations economy with pure exchange populated by three-period-lived agents. Habits are modeled in such a way that current consumption increases the marginal utility of future consumption. With logarithmic utility functions, I demonstrate that habit formation may give rise to stable monetary steady states in economies with hump-shaped endowment pro…les and reasonably high discount factors. Intuitively, habits imply adjacent complementarity in consumption, which in turn helps explain why income effects are sufficiently strong in spite of logarithmic utility. The longer horizon further strengthens the income effect. Finally, I use the bootstrap method to construct stationary sunspot equilibria for those economies in which the steady state is locally stable.
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  • DT N° 2011-12: Exchange rate pass-through and inflation targeting in Peru
    • Author: Diego Winkelried
    • Language: English
    • Date: August 2011
    • Abstract: It has been widely documented that the exchange rate pass-through to domestic inflation has decreased significantly in most of the industralised world. As microeconomic factors cannot completely explain such a widespread phenomenon, a macroeconomic explanation linked to the inflationary environment - that a low and more stable inflation rate leads to a decrease in the pass-through - have gained popularity. Using a structural VAR framework, this paper presents evidence of a similar decline in the pass-through in Peru, a small open economy that gradually reduced inflation to international levels in order to adopt a fully-fledged inflation targeting scheme in 2002. It is argued that the establishment of a credible regime of low inflation has been instrumental in driving the exchange rate pass-through down.
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  • DT N° 2011-11: The Distribution of the Size of Price Changes
    • Authors: Alberto Cavallo and Roberto Rigobon
    • Language: English
    • Date: June 2011
    • Abstract: Different theories of price stickiness have distinct implications on the number of modes in the distribution of price changes. We formally test for the number of modes in the price change distribution of 36 supermarkets, spanning 22 countries and 5 continents. We present results for three modality tests: the two best-known tests in the statistical literature, Hartigan's Dip and Silverman's Bandwidth, and a test designed in this paper, called the Proportional Mass test (PM). Three main results are uncovered. First, when the traditional tests are used, unimodality is rejected in about 90 percent of the retailers. When we used the PM test, which reduces the impact of smaller modes in the distribution and can be applied to test for modality around zero percent, we still reject unimodality in two thirds of the supermarkets. Second, category-level heterogeneity can account for about half of the PM test's rejections of unimodality. Finally, a simulation of the model in Alvarez, Lippi, and Paciello (2010) shows that the data is consistent a combination of both time and state-dependent pricing behaviors.
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  • DT N° 2011-10: Preferences of the Central Reserve Bank of Peru and optimal monetary policy rules in the inflation targeting regime
    • Authors: Nilda Mercedes Cabrera Pasca, Edilean Kleber da Silva Bejarano Aragón y Marcelo Savino Portugal
    • Language: English
    • Date: June 2011
    • Abstract: This study aims to identify the preferences of the monetary authority in the Peruvian regime of inflation targeting through the derivation of optimal monetary policy rules. To achieve that, we used a calibration strategy based on the choice of values of the parameters of preferences that minimize the square deviation between the true interest rate and interest rate optimal simulation. The results showed that the monetary authority has applied a system of flexible inflation targeting, prioritizing the stabilization of inflation, but without disregarding gradualism in interest rates. On the other hand, concern over output stabilization has been minimal, revealing that the output gap has been important because it contains information about future inflation and not because it is considered a variable goal in itself. Finally, when the smoothing of the nominal exchange rate is considered in the loss function of the monetary authority, the rank order of preferences has been maintained and the smoothing of the exchange rate proved insignificant.
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  • DT N° 2011-09: Impacto amplificador del ajuste de inventarios ante choques de demanda según especificaciones flexibles
    • Author: Carlos R. Barrera
    • Language: Spanish
    • Date: June 2011
    • Abstract: The paper qualitatively approximates the conceivably asymmetric dynamic relationships among GDP growth, inventory growth and three types of aggregate demand growth (internal public demand, internal private demand and external export demand) during the Peruvian experience of market-based growth (1993-2010). In order to capture the potentially important asymmetries in the conditional mean vector, a particular flexible dynamic model (neural VAR) is proposed. The model's perturbation vector is distributed multivariate Student-t distribution with conditional scale matrix following an autoregressive conditionally heteroskedastic (ARCH) process. The parameters of these conditional objects are then robust to the presence of outliers, which reduces the misspecification arising from spurious asymmetries in the conditional means. After covering the required computational cost, the approximated parameter estimates could reveal incentives to maintain inventories which are additional to the traditional production smoothing incentive. A statistically significant parameter estimate inside the contemporaneous structural matrix points out that a positive shock in private demand growth will be absorbed mainly by a more than proportional increase in the production growth on impact. This amplifier impact from demand shocks to production evolution is consistent with the numbers advanced on the average incidence of inventory investment over production growth during the four most recent recessions. This average incidence can then be explained by the aggregate inventory cycle (not necessarily of final goods).
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  • DT N° 2011-08: Capital Flows, Monetary Policy and FOREX Interventions in Peru
    • Authors: Renzo Rossini, Zenón Quispe and Donita Rodríguez
    • Language: English
    • Date: May 2011
    • Abstract: This article explains the main features of the sterilized intervention in the foreign exchange market and the use of non-conventional policy instruments as applied by the Central Reserve Bank of Peru in order to avoid credit booms or busts in a context of a partially dollarized financial system. This monetary policy framework is based on a risk management approach that includes as the main policy tool the short-term interest rate within an inflation targeting regime. This framework helped to reduce the impact of the recent global financial crisis on the Peruvian economy and allowed to rejoin the path of growth with low inflation, avoiding major disruptions from the surge of capital inflows.
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  • DT N° 2011-07: A Quantitative General Equilibrium Approach to Migration, Remittances and Brain Drain
    • Author: Nikita Cespedes
    • Language: English
    • Date: May 2011
    • Abstract: Developing countries have experienced an outstanding outflow of skilled workers (brain- drain) over the last several decades. Additionally, migrants tend to be tied to their country of birth, since they send a large amount of remittances to their relatives. Furthermore, migration is not permanent, since a considerable number of workers return to their country of birth after a migration spell. In this paper we develop a model that is consistent with these facts. We use our model to address some important issues in the migration literature from a theoretical perspective. We study the general equilibrium effects of migration, its long-term effects, and its welfare effects, and we see whether the joint effect of return migration and remittances is strong enough to offset the effects of skilled migration. Finally, we evaluate the effectiveness of policy interventions that attempts to offset the effects of a brain drain.
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  • DT N° 2011-06: A composite leading indicator for the Peruvian economy based on the BCRP's monthly business tendency surveys
    • Authors: Richard Etter and Michael Graff
    • Language: English
    • Date: April 2011
    • Abstract: This paper documents the construction of a composite leading indicator for the Peruvian economy based on the business tendency surveys (BTS) conducted by the Banco Central de Reserva del Perú (BCRP). We first classify potential composite leading indicators into "semantic" and "sophisti-cated" types. The former are based on the contents of the underlying indicators, whereas the latter results from statistical analyses relating to pre-determined reference series. We show that the BCRP BTS data provides a suitable basis for the construction of a sophisticated indicator with the Peru-vian year-on-year GDP growth rate as a reference series. The indicator selection consists of a num-ber of steps comprising semantic analyses of the questionnaire items, cross-correlation analyses as well as turning point analyses. We argue that based on these analyses, the choice should fall on five indicators, relating to firm-specific questionnaire items as well as to items relating to the sector or economy as a whole. The composite leading indicator is computed as the fist principal component of the selected variables. In-sample, it shows a lead of four months before the reference series, which amounts to about six months before the first official data release dates. Due to the limited number of observations (the BCRP's BTS now covering about eight years), we did not reserve any data points for out-of-sample analyses of the suggested composite leading indicator. Accordingly, the performance of the indicator still has to stand the test of time and its lead should be carefully monitored.
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  • DT N° 2011-05: Monetary Policy and Stock Market Booms
    • Authors: Lawrence Christiano, Cosmin Ilut, Roberto Motto y Massimo Rostagno
    • Language: English
    • Date: March 2011
    • Abstract: Historical data and model simulations support the following conclusion. Inflation is low during stock market booms, so that an interest rate rule that is too narrowly focused on inflation destabilizes asset markets and the broader economy. Adjustments to the interest rate rule can remove this source of welfare-reducing instability. For example, allowing an independent role for credit growth (beyond its role in constructing the inflation forecast) would reduce the volatility of output and asset prices.
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  • DT N° 2011-04: El impacto de la inflación en la distribución del ingreso: la importancia del nivel de desigualdad del ingreso inicial
    • Authors: Carlos Aparicio and Raquel Araujo
    • Language: Spanish
    • Date: February 2011
    • Abstract: Several authors have focused their research on analyzing the extent to which monetary policy would be important to avoid major distortions on income distribution. Empirical evidence indicates that low and controlled inflation is progressive. On the other hand, a strong unanticipated inflationary shock works as a regressive tax. This study sustains that in the least equitable countries, inflation generates more significant impacts on income inequality than in the case of the most equitable. Thus, the role of monetary policy in a country with high initial income inequality would be more important as an inflationary shock would have major consequences on this economy than in others. Different models of static and dynamic panel are developed, controlling for other variables found within the literature and the presence of endogeneity or weak exogeneity between some of them and the level of inequality. From the results, we verify the presence of a change in the relationship between inflation and inequality to the level of initial income inequality of the countries, as well as the presence of a non-linear relationship between these two variables. Also, the results support that only under hyperinflationary events the relationship between inflation and income inequality becomes relevant.
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  • DT N° 2011-03: Self-Fulfilling Risk Panics
    • Authors: Philippe Bacchetta, Cédric Tille and Eric van Wincoop
    • Language: English
    • Date: February 2011
    • Abstract: Recent crises have seen large spikes in asset price risk without dramatic shifts in fundamentals. We propose an explanation for these risk panics, based on selfful filling shifts in beliefs about risk, that are driven by a negative link between the current asset price and risk about the future asset price. This link implies that risk about the future asset price depends on uncertainty about future risk. This dynamic mapping of risk into itself gives rise to the possibility of multiple equilibria and can generate risk panics. In a panic, risk beliefs are coordinated around a macro fundamental that becomes a sudden focal point of the market. The magnitude of the panic is larger the weaker this macro fundamental. The sharp increase in risk leads to a large drop in the asset price, decreased leverage and reduced market liquidity. While the model is not aimed at modeling the specifics of any particular financial crisis, we show that its implications are broadly consistent with what happened during the 2007-2008 crisis.
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  • DT N° 2011-02: Telecommunications Technologies, Agricultural Profitability, and Child Labor in Rural Peru
    • Author: Diether W. Beuermann
    • Language: English
    • Date: February 2011
    • Abstract: This paper provides evidence on the effects of access to telecommunications technologies on agricultural profitability and human capital investment decisions among highly isolated villages in rural Peru. I exploit a quasi-natural experiment, in which the Peruvian government through the Fund for Investments in Telecommunications (FITEL) provided at least one public (satellite) payphone to 6,509 rural villages that did not previously have any kind of communication services (either landlines or cell phones). The intervention provided these phones mainly between years 2001 and 2004. I show that the timing of the intervention was uncorrelated with baseline outcomes and exploit differences in timing using a uniquely constructed (unbalanced) panel of treated villages spanning the years 1997 through 2007. The main findings suggest that phone access generated increases of 16 percent in the value per kilogram received by farmers for their agricultural production, and a 23.7 percent reduction in agricultural costs. Moreover, this income shock translated into a reduction in child (6 – 13 years old) market work of 13.7 percentage points and a reduction in child agricultural work of 9.2 percentage points. Overall, the evidence suggests a dominant income effect in the utilization of child labor.
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  • DT N° 2011-01: El Impulso Crediticio y el PBI en el Perú: 1992–2009
    • Authors: Erick Lahura y Hugo Vega
    • Language: Spanish
    • Date: February 2011
    • Abstract: This paper applies a recursive approach to evaluate the credit – output relationship empirically using Peruvian quarterly data for the period between 1992 and 2009. Given the nature of the series, econometric analysis is based on the estimation of a vector error correction model (VECM) which establishes the existence of a dynamic relationship between the growth rate of output and the "credit impulse", the latter defined as the change in the growth rate of credit. The results show that the credit impulse in domestic currency (soles) contains relevant information to predict the growth rate of output in the short run.
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2010

  • DT N° 2010-22: Dissecting the Effect of Credit Supply on Trade: Evidence from Matched Credit-Export Data
    • Authors: Daniel Paravisini, Veronica Rappoport, Philipp Schnabl and Daniel Wolfenzon
    • Language: English
    • Date: December 2010
    • Abstract: This paper presents evidence on the effect of credit supply shocks on exports. Capital flow reversals in Peru during the 2008 financial crisis induced a decline in the supply of credit by domestic banks with high share of foreign-currency denominated liabilities. We use this variation to estimate the elasticity of exports to bank credit. We use matched customs and firm-level bank credit data to control for non-credit related factors that may also affect the level of exports: we compare changes in exports of the same product and to the same destination by firms borrowing from different banks. Exports react strongly to changes in the supply of credit in the intensive margin, irrespectively of the firms' export volume. In the extensive margin, the negative credit supply shock increases the probability of exiting a product-destination export market, but does not significantly affect the number of firms entering an export market. The magnitude of the respective elasticities, as well as their heterogeneity across firm and export flow observable characteristics, are estimated.
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  • DT N° 2010-21: The Bank Lending Channel in Peru: evidence and transmission mechanism
    • Author: César Carrera
    • Language: English
    • Date: December 2010
    • Abstract: In the past ten years the Peruvian economy has experienced important structural changes regarding monetary policy. This document focuses on the bank lending channel as part of the transmission process to macroeconomic activity in the Peruvian economy based on Bernanke, Gertler, and Gilchrist (1996) flight-to-quality argument. The purpose of this work is to identify the bank lending channel (using bank level data), and test its relevance for understanding the transmission to economic activity by comparing monetary policy effects under two scenarios; with and without a bank lending channel (using structural autoregressive vectors). As in Gambacorta (2005), I consider a sample period in which a policy variable can capture the monetary policy stance of the central bank. For the case of Peru, I conclude that the bank lending channel has operated but this channel is not important for identifying the transmission process from monetary policy to macroeconomic activity.
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  • DT N° 2010-20: Transitory shocks and long-term human capital accumulation: the impact of conflict on physical health in Peru
    • Author: Alan Sánchez
    • Language: English
    • Date: December 2010
    • Abstract: The recent literature on human capital highlights the importance of investments during the first few years after birth as a determinant of economic outcomes later in life, including labour productivity. This paper assesses the relationship between conflict exposure -a transitory, aggregate, shock- and early nutrition. The relationship between conflict exposure and human capital outcomes can be put into doubt due to the endogenous nature of conflict. In this paper I use a rich dataset that permits me to trace the intensity of a country-specific, large-scale, conflict across regions and over time at the monthly frequency over a 20-year period. I use this data to link conflict exposure prevalent around the time of birth to child-level outcomes of birth cohorts born over an analogous time period. The identification strategy exploits differences in the intensity of exposure between siblings in turn determined by year-month of birth. Results show that, on average, early exposure to conflict did not have an effect on infant mortality but had large negative effects on short-term nutritional outcomes, particularly for the poor. These results suggest that, unless compensatory investments were at place, the Peruvian conflict might have had long-term effects on human capital accumulation through a nutritional channel.
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  • DT N° 2010-19: Monetary aggregates and monetary policy: an empirical assessment for Peru
    • Author: Erick Lahura
    • Language: English
    • Date: December 2010
    • Abstract: In recent years the theoretical and empirical literature has shown a tendency to discard the use of money in monetary policy. This paper provides an empirical evaluation of the relevance of monetary aggregates in the conduct of monetary policy in Peru, a small open and partially dollarized economy. Based on recursive analysis of vector error correction models and allowing for structural breaks, we find that M3 is the only monetary aggregate that helps forecast inflation in Peru and therefore can be useful in monetary policy. There is no clear evidence about the usefulness of any other narrower monetary aggregate either as a potential monetary policy instrument or as an information variable.
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  • DT N° 2010-18: Estimating The Natural Interest Rate for Peru: A Financial Approach
    • Author: Javier Pereda
    • Language: Spanish
    • Date: December 2010
    • Abstract: This paper estimates the natural interest rate for Peru in the period 2004-2010. Two models are estimated: a model based on the uncovered interest rate parity (UIP), and the other based on the forward rate of the yield curve. Estimation results show a decreasing trend of the natural interest rate in the period under study –on line with the international evidence- and a expansive stance of the monetary policy (positive interest rate gap).
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  • DT N° 2010-17: Some stylized facts of returns in the foreign exchange and stock markets in Peru
    • Authors: Alberto Humala y Gabriel Rodríguez
    • Language: English
    • Date: December 2010
    • Abstract: Some stylized facts for foreign exchange and stock market returns are explored using statistical methods. Formal statistics for testing presence of autocorrelation, asymmetry, and other deviations from normality is applied to these financial returns. Dynamic correlations and different kernel estimations and approximations of the empirical distributions are also under scrutiny. Furthermore, dynamic analysis of mean, standard deviation, skewness and kurtosis are also performed to evaluate time-varying properties in return distributions. Main results reveal different sources and types of non-normality in the return distributions in both markets. Left fat tails, excess kurtosis, return clustering and unconditional time-varying moments show important deviations from normality. Identifiable volatility cycles in both forex and stock markets are associated to common macro financial uncertainty events.
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  • DT N° 2010-16: ¿Respuesta asimétrica de precios domésticos de combustibles ante choques en el WTI?
    • Author: Carlos Barrera
    • Language: Spanish
    • Date: December 2010
    • Abstract: La presente investigación aproxima cuantitativamente las relaciones dinámicas entre los componentes de los precios domésticos de los combustibles y el precio internacional del petróleo WTI, su principal determinante, para el caso peruano durante los años 2000-2009. Este periodo incluye uno más reciente, que se inicia en set. 2004, en el que estos precios domésticos se han formado bajo un sistema de bandas administrado por el Fondo de Estabilización de Precios de los Combustibles Derivados del Petróleo (FEPCDP). Para capturar la potencial presencia de asimetrías en el vector de medias condicionales, se propone un modelo dinámico flexible (VAR neuronal), una distribución t de Student para el vector de perturbaciones asociado así como un modelo de heteroscedásticidad dinámica (ARCH) para su matriz de co-varianzas condicionales. Los parámetros de ambos momentos condicionales son robustos ante la presencia de observaciones atípicas -outliers- debido a que los vectores de perturbaciones son realizaciones de una distribución t de Student multi-variada, lo que además reduce la presencia de asimetrías espurias en las medias condicionales. Al cubrir el costo computacional requerido, la aproximación de los parámetros logra develar la operatividad del FEPCDP. Sin embargo, elevar la precisión de las proyecciones de inflación no subyacente (NS), cuyo componente más relevante a predecir es el sub-índice de precios de los combustibles de consumo final, puede resultar más costoso.
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  • DT N° 2010-15: La Evolución de los Sistemas de Pagos de Bajo Valor en el Perú
    • Authors: Marylin Choy y Victor Roca
    • Language: Spanish
    • Date: December 2010
    • Abstract: El trabajo describe el desarrollo de los sistemas interbancarios de pago de bajo valor en el Perú en el período 2005-2010. Se destaca que las transferencias de crédito han tenido una alta tasa de crecimiento en los últimos cinco años, aunque los valores y volúmenes alcanzados son aún más bajos que los obtenidos en la región. Los bajos niveles de bancarización, la elevada preferencia por circulante y la concentración de los depósitos transferibles limitan el nivel potencial de las transferencias interbancarias. Sin embargo, dichos factores limitantes vienen progresivamente revirtiéndose: la bancarización está incrementándose sostenidamente, la preferencia por circulante está disminuyendo y la concentración de los depósitos transferibles se ha reducido. En el país se viene implementando un conjunto de acciones que permitirían que en el mediano plazo las transferencias electrónicas alcancen niveles comparables a los de otras economías de la región. Entre estas acciones se destaca el rol promotor y regulador del Banco Central, así como el rol de la comunidad financiera de incentivar a los clientes del sistema financiero a la sustitución del efectivo y del cheque por instrumentos electrónicos, particularmente por transferencias de crédito. Asimismo, la creciente inclusión de entidades financieras no bancarias al proceso de compensación, el desarrollo de innovaciones y de la tecnología se constituyen en factores favorables al crecimiento del uso de transferencias electrónicas, incluso para los sectores de microempresas y rurales.
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  • DT N° 2010-14: Total factor productivity and signal noise volatility in an incomplete information setting
    • Author: Hugo Vega
    • Language: English
    • Date: November 2010
    • Abstract: Imperfection information models where agents solve some kind of signal extraction problem are multiplying and developing fast. They have commonly been used to study the impact of imperfect information on the business cycle and the importance of news versus noise shocks. This paper attempts to apply the framework to a di¤erent, albeit related, question: that of the e¤ect of volatility (both in news and noise) on the economy, from a long and short run perspective. An RBC model where the agent faces imperfect information regarding productivity is developed and calibrated in order to address the question, coming to the conclusion that the long run e¤ect is insigni…cant while further development is required to address the short run conclusively.
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  • DT N° 2010-13: Los Mecanismos de Transmisión de la Política Monetaria en Perú
    • Authors: Paul Castillo, Fernando Perez y Vicente Tuesta
    • Language: Spanish
    • Date: November 2010
    • Abstract: This paper presents an extension of the model proposed by Bernanke and Mihov (1998), which includes financial dollarization, in order to estimate the effects of monetary policy in Peru for the period 1995-2009. The results show that the effects of monetary policy in a dollarized economy are similar to the ones observed in non-dollarized economies. In particular, after a restrictive monetary policy shock, interest rates rise, monetary aggregates decrease, exchange rate drops, aggregate demand slows and inflation diminishes. However, exchange rate shocks are important determinants of the money market. Additionally, there is evidence that after the adoption of the inflation targeting regime in 2002 the Central Bank reacts more importantly to money demand shocks than to exchange rate shocks.
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  • DT N° 2010-12: Demography, Stock Prices and Interest Rates: The Easterlin Hypothesis Revisited
    • Author: Fabrizio Orrego
    • Language: English
    • Date: September 2010
    • Abstract: During the twentieth century, the U.S. witnessed a cyclical birth rate. This in turn shaped the evolution of the ratio of middle-age to young adults, or MY ratio, which captures the stance of the population pyramid at any given time. In this paper, I study the effects of demographic change, as measured by the MY ratio, on stock prices and interest rates. I construct an equilibrium model in the spirit of Geanakoplos et al. (2004). The model relates the economic fortune of a cohort to its relative size (Easterlin hypothesis) and matches qualitatively the long-run trends in real interest rates and stock prices in the U.S. postwar era. The first prediction of the model is that the price-earnings ratio and stock prices should be in phase with the MY ratio. The second prediction is that real interest rates should move inversely with the MY ratio, except after the peak in the MY ratio. Unlike Geanakoplos et al. (2004), this model does not predict that stock prices should move inversely with real interest rates. On the contrary, this model shows that in a stationary cyclic equilibrium there may be independent movements in stock and bond prices, which are necessary to prevent arbitrage opportunities.
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  • DT N° 2010-11: Peru: Drivers of De-dollarization
    • Author: Mercedes García-Escribano
    • Language: English
    • Date: July 2010
    • Abstract: Peru has successfully pursued a market-driven financial de-dollarization during the last decade. Dollarization of credit and deposit of commercial banks—across all sectors and maturities—has declined, with larger declines for commercial credit and time and saving deposits. The analysis presented in this paper confirms that de-dollarization has been driven by macroeconomic stability, introduction of prudential policies to better reflect currency risk (such as the management of reserve requirements), and the development of the capital market in soles. Further de-dollarization efforts could focus on these three fronts. Given the now consolidated macroeconomic stability, greater exchange rate flexibility could foster de-dollarization; additional prudential measures could further discourage banks' lending and funding in foreign currency; while further capital market development in domestic currency would help overall financial de-dollarization.
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  • DT N° 2010-10: Innovación en los Sistemas de Pagos: El caso del mercado de transferencias de crédito en el Perú
    • Authors: Milton Vega, Roy Ayllón y Gonzalo Chavez
    • Language: Spanish
    • Date: July 2010
    • Abstract: This study is a first approach to identify the factors behind the underdevelopment of the credit transfer market in Peru, despite the lower risk and higher efficiency that this instrument provides to final customers.
      Following the literature on the topic of innovation, this paper focuses on the notion that payment systems are a network industry and in this context it identifies incentives and constraints for the development of the credit transfer market.
      We conclude that the limiting factors include:
      • The fee structure at the level of clearing services and at the level of final customers.
      • Incentives for banks’ investment in their own network rather than in the common network.
      • Lack of financial literacy.
      • The presence of ad-hoc payment mechanisms that limit the development of payment systems.
      Thus, in order to develop the credit transfer market, efforts should be made in order to minimize the constraints and disseminate the advantages of using this instrument over cash and checks.
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  • DT N° 2010-09: Monetary Policy in the presence of Informal Labour Markets
    • Authors: Paul Castillo y Carlos Montoro
    • Language: English
    • Date: July 2010
    • Abstract: 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.
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  • DT N° 2010-08: The effects of monetary policy shocks in Peru: Semi-structural identification using a factor-augmented vector autoregressive model
    • Author: Erick Lahura
    • Language: English
    • Date: July 2010
    • Abstract: The main goal of this paper is to analyze the effects of monetary policy shocks in Peru, taking into account two important issues that have been addressed separately in the VAR literature. The first one is the difficulty to identify the most appropriate indicator of monetary policy stance, which is usually assumed rather than determined from an estimated model. The second one is the fact that monetary policy decisions are based on the analysis of a wide range of economic and financial data, which is at odds with the small number of variables specified in most VAR models. To overcome the first issue, Bernanke and Mihov (1998) proposed a semi-structural VAR model from which the indicator of monetary policy stance can be derived rather than assumed. Meanwhile, the data problem has been resolved recently by Bernanke, Boivin and Eliasz (2005) using a Factor-Augmented Vector Autoregressive (FAVAR) model. In order to capture these two issues simultaneously, we propose an extension of the FAVAR model that incorporates a semi-structural identification approach a la Bernanke and Mihov, resulting in a VAR model that we denominate SS-FAVAR. Using data for Peru, the results show that the SS-FAVAR's impulse-response functions (IRFs) provide a more coherent picture of the effects of monetary policy shocks compared to the IRFs of alternative VAR models. Furthermore, it is found that innovations to nonborrowed reserves can be identified as monetary policy shocks for the period 1995-2003..
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  • DT N° 2010-07: Bayesian Estimation of a Simple Macroeconomic Model for a Small Open and Partially Dollarized Economy
    • Author: Jorge Salas
    • Language: English
    • Date: July 2010
    • Abstract: I describe a simple new-keynesian macroeconomic model for a small open and partially dollarized economy, which closely resembles the Quarterly Projection Model (QPM) developed at the Central Bank of Peru (Vega et al. (2009)). Then I use Bayesian techniques and quarterly data from Peru to estimate a large group of parameters. The empirical findings provide support for some of the parameters values imposed in the original QPM. In contrast, I find that another group of coefficients – e.g., the weights on the forward-looking components in the aggregate demand and the Phillips curve equations, among several others – should be modified to be more consistent with the data. Furthermore, the results validate the operation of different channels of monetary policy transmission, such as the traditional interest rate channel and the exchange rate channel. I also find evidence that in the most recent part of the sample (2004 onwards), the expectations channel has become more prominent, as implied by the estimated values of the forward-looking parameters in the aggregate demand and the Phillips curve equations.
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  • DT N° 2010-06: Propuesta metodológica para la focalización individual de los programas sociales
    • Authors: Jose Valderrama y Juan Pichihua
    • Language: Spanish
    • Date: July 2010
    • Abstract: Se propone una metodología de identificación individual de potenciales beneficiarios de programas sociales. Esta herramienta comprende dos etapas: en la primera se determina un índice de bienestar y en la segunda los puntos de corte que permiten distinguir a los hogares que califican como potenciales beneficiarios. La estimación del índice se basa en una práctica extendida en la literatura especializada: análisis de los componentes principales con escalamiento óptimo. El cálculo de los umbrales es lo novedoso de este trabajo, y se basa en la minimización de una función que depende de los errores de focalización a los que se enfrenta cualquier programa social: infiltración y subcobertura.
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  • DT N° 2010-05: Liquidity Shocks and the Business Cycle
    • Author: Saki Bigio
    • Language: English
    • Date: May 2010
    • Abstract: This paper studies the properties of an economy subject to random liquidity shocks. As in Kiyotaki and Moore [2008], liquidity shocks affect the ease with which equity can be used as to finance the down-payment for new investment projects. We obtain a liquidity frontier which separates the state-space into two regions (liquidity constrained and unconstrained). In the unconstrained region, the economy behaves according to the dynamics of the standard real business cycle model. Below the frontier, liquidity shocks have the effects of investment shocks. In this region, investment is under-efficient and there is a wedge between the price of equity and the real cost of capital. As with investment shocks, we argue that liquidity shocks are not an important source of business cycle fluctuations in absence of other frictions affecting the labor market.
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  • DT N° 2010-04: El Perfil del Trabajador Informal y el Retorno de la Educación
    • Authors: Daniel Barco y Paola Vargas
    • Language: Spanish
    • Date: May 2010
    • Abstract: Este documento presenta un marco teórico que explica la segmentación del mercado laboral en dos sub-mercados: el formal y el informal. Sobre la base de los datos de la encuesta ENAHO 2007, se determinan los niveles de informalidad existentes de acuerdo con distintas definiciones. Asimismo, se determinan los principales factores que explicarían la inserción dentro del mercado laboral formal e informal, entre los que se encuentran el tamaño de la empresa por el lado de la demanda y los años de escolaridad, estado civil y edad, por el lado de la oferta. Finalmente, se calculan los retornos a la educación para formales e informales, los que se encuentran en niveles más bajos en comparación a medidas internacionales.
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  • DT N° 2010-03: Brechas Salariales entre Formales e Informales
    • Authors: Daniel Barco y Paola Vargas
    • Language: Spanish
    • Date: May 2010
    • Abstract: Este documento utiliza una aproximación no paramétrica propuesta por Ñopo (2004) para calcular las brechas salariales entre trabajadores formales e informales en el Perú. Siguiendo esta metodología y utilizando los datos de la Encuesta Nacional de Hogares (ENAHO) del año 2007, se descompone la brecha salarial en cuatro componentes, uno de los cuales representa las diferencias atribuibles a las características observables entre formales e informales y otra representa diferencias atribuibles a factores no observables. En el caso, de los salariados, estas diferencias explican el 55 y 18 por ciento de la brecha total, respectivamente. En el caso de los independientes, representan el 37 y 27 por ciento de la brecha. Este hallazgo se considera evidencia de que la brecha de los salarios no es atribuible únicamente a factores observables asociados a la oferta laboral, sino también a factores no observables asociados a algún tipo de segmentación en el mercado laboral.
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  • DT N° 2010-02: Inflation, Oil Price Volatility and Monetary Policy
    • Authors: Paul Castillo, Carlos Montoro y Vicente Tuesta
    • Language: English
    • Date: January 2010
    • Abstract: 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 empirically plausible Taylor rule can replicate the level of average inflation observed in the U.S. in 2000s.
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  • 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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2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | 1997

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: The significant increase in oil prices in recent years (a record $100 per barrel in December 2007, three times higher than in 2002), as well as a greater concern about environmental issues and global warming, have gone hand-in-hand with a renewed and growing interest in the use of biofuels as an alternative energy source to fossil fuels. This has also led to a significant surge in commodity prices, mainly corn, soy, and other basic foods. This report presents recent developments in the use of biofuels, discusses their advantages and disadvantages, and assesses the balance of payments, terms of trade, and inflation implications of their market perspectives.
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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° 2007-015: Proyecciones desagregadas de inflación con modelos Sparse VAR robustos
    • Author: Carlos Barrera
    • Language: Spanish
    • Date: September 2007
    • Abstract: En los bancos centrales se suele utilizar modelos no estructurales y semi-estructurales para predecir diversas variables, especialmente la inflación, cuyo control es su principal objetivo. El Sistema de Predicción Desagregada (SPD) es un conjunto de modelos SparseVAR no estructurales usados para predecir la inflación IPC y el crecimiento del PBI en el corto plazo. A pesar de que estos modelos logran protecciones de inflación precisión creciente debido a su parsimonia (Barrera(2005)), los estimadores de sus parámetros son sensibles a la presencia de observaciones fuera de patrón previamente establecido (outliers). El trabajo propone un procedimiento robusto multi-ecuacional para ellos y evalúa la ganancia en precisión para una muestra reciente que incluye una secuencia de outliers. Los resultados indican que las proyecciones de inflación IPC de la versión robusta de todos los modelos SparseVAR robustos logran mejorar la precisión para horizontes intermedios respecto a su versión no robusta. Sin embargo, el modelo cuyas proyecciones de inflación no subyacente IPC resultan menos sensibles ante la presencia de esta secuencia de outliers es la versión no robusta de aquél que considera la información del agregado de inflación IPC como la más relevante en todos los componentes, lo que se explicarían por una tendencia a fijar precios asignando temporalmente un mayor peso a la inflación IPC durante periodos típicamente inciertos.
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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: Evidence 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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