Tasa de interés de referencia e inflación en el Perú: periodo 2000 - 2019
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Date
2021
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Universidad Nacional de Trujillo
Abstract
Este trabajo examina la forma como se ha manejado la política monetaria para el caso peruano, tras la implementación oficial del esquema de Inflación Objetivo. Para ese propósito, se analiza la existencia de la Regla de Taylor en el periodo comprendido entre el 2000 y 2019. Primero, se estima la reacción de la tasa de interés de referencia como respuesta al comportamiento de la inflación y en segundo lugar se procedió a estimar mediante el método de máxima verosimilitud el modelo ARIMA, en donde los resultados indicaron que los signos asociados a las variables del modelo “Gap inflación y Gap del producto” tienen un nivel positivo y significativo, así mismo se obtuvo que el valor del coeficiente del diferencial de la inflación es mucho mayor que el coeficiente del diferencial de la producción, de esto se deduce que en nuestro país la tasa de interés incide en el control de los precios más que en el control de la producción, lo cual se refleja en las decisiones que toma el BCRP mediante una regla de política económica que reduce el riesgo de tasa de interés para los inversionistas, y promueve mayor sostenibilidad de la demanda agregada en el largo plazo.
ABSTRACT This paper examines the way in which monetary policy has been handled in the Peruvian case, after the official implementation of the Target Inflation scheme. For this purpose, the existence of the Taylor Rule in the period between 2000 and 2019 is analyzed. First, the reaction of the reference interest rate is estimated in response to the behavior of inflation and secondly, we proceeded to estimate the ARIMA model using the maximum likelihood method, where the results indicated that the signs associated with the model variables "Gap inflation and Gap of the product" have a positive and significant level, likewise it was obtained that the value of the coefficient of the The inflation differential is much greater than the coefficient of the production differential, from this it follows that in our country the interest rate affects the control of prices more than the control of production, which is reflected in the decisions made by the BCRP through an economic policy rule that reduces interest rate risk for investors, and promotes greater sustainability of aggregate demand in the long-term.
ABSTRACT This paper examines the way in which monetary policy has been handled in the Peruvian case, after the official implementation of the Target Inflation scheme. For this purpose, the existence of the Taylor Rule in the period between 2000 and 2019 is analyzed. First, the reaction of the reference interest rate is estimated in response to the behavior of inflation and secondly, we proceeded to estimate the ARIMA model using the maximum likelihood method, where the results indicated that the signs associated with the model variables "Gap inflation and Gap of the product" have a positive and significant level, likewise it was obtained that the value of the coefficient of the The inflation differential is much greater than the coefficient of the production differential, from this it follows that in our country the interest rate affects the control of prices more than the control of production, which is reflected in the decisions made by the BCRP through an economic policy rule that reduces interest rate risk for investors, and promotes greater sustainability of aggregate demand in the long-term.
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Keywords
Perú, Inflación, Tasa de interés de referencia