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

Rodolfo Cermeño and Julio Mamani-Palacios

No DTE 565, Working Papers from CIDE, División de Economía

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.

Keywords: volatility; real Exchange rate; monetary policy in Peru; monetary regimes; DSGE models (search for similar items in EconPapers)
JEL-codes: E52 E58 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2013-10
New Economics Papers: this item is included in nep-dge, nep-mac and nep-mon
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