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Regímenes Monetarios y Volatilidad del Tipo de Cambio Real: El Caso Peruano, 1995-2012

Author

Listed:
  • Rodolfo Cermeño

    (Division of Economics, CIDE)

  • Julio Mamani-Palacios

Abstract

This paper evaluates empirically the volatility of real exchange rate in Peru under two regimes of monetary policy: the Monetary Targeting Regime, MTR, (1995:11-2001:12) and the Inflation Targeting Regime, ITR, (2002:01-2012:12). We estimate a small-scale macroeconomic model along the lines of the Dynamic Stochastic General Equilibrium (DSGE) models, under a New-Keynesian approach. We find strong evidence that volatility of real exchange rate differs substantially across regimes which is consistent with the theoretical results of Gali y Monacelli (2005) and also with the empirical results of Lastrapes (1989). Specifically, we find that the transition from the MTR to ITR has been accompanied by a substantial reduction of real Exchange rate volatility.

Suggested Citation

  • Rodolfo Cermeño & Julio Mamani-Palacios, 2013. "Regímenes Monetarios y Volatilidad del Tipo de Cambio Real: El Caso Peruano, 1995-2012," Working Papers DTE 565, CIDE, División de Economía.
    • Handle: RePEc:emc:wpaper:dte565
    as

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    References listed on IDEAS

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    More about this item

    Keywords

    volatility; real Exchange rate; monetary policy in Peru; monetary regimes; DSGE models;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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