About the role of monetary aggregates for monetary policy: the case of Peru

Erick Lahura and Donita Rodríguez ()

No 2005-243, Documentos de Trabajo / Working Papers from Departamento de Economía - Pontificia Universidad Católica del Perú

Abstract: The purpose of this paper is to analyze the relevance of monetary aggregates for monetary policy as indicators of real activity. The main hypothesis of this paper is that narrow monetary aggregates can help forecasting real output. The empirical analysis combines the time scale decomposition of time series using wavelets and the possible existence of cointegrating relationships between money, output and prices. Using recent Peruvian data, evidence is found to support the proposed hypothesis. In particular, the results suggest the existence of co-integration between non-stationary series built using wavelet filtering. In this context, exogeneity tests reveal that narrow monetary aggregates are weakly and strongly exogenous; i.e., they are helpful for forecasting real output. These results suggest that money has a role for monetary policy as an indicador of real activity.

Pages: 36 pages
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Published

Downloads: (external link)
http://files.pucp.edu.pe/departamento/economia/DDD243.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pcp:pucwps:wp00243

Access Statistics for this paper

More papers in Documentos de Trabajo / Working Papers from Departamento de Economía - Pontificia Universidad Católica del Perú Av. Universitaria 1801, San Miguel, Lima, Perú. Contact information at EDIRC.
Bibliographic data for series maintained by ().