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Effects of the U.S. quantitative easing on the Peruvian economy

Cesar Carrera (), Fernando Pérez-Forero and Nelson R. Ramírez-Rondán ()
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Fernando Pérez-Forero: Banco Central de Reserva del Perú

Authors registered in the RePEc Author Service: Fernando José Pérez Forero ()

No 2014-017, Working Papers from Banco Central de Reserva del Perú

Abstract: Emerging economies were largely affected because of FED's quantitative easing (QE) policies. This paper assesses the impact of these measures in terms of key macroeconomic variables for a small open economy (SOE) such as Peru. We identify QE policy shocks in a SVAR with Block Exogeneity (Zha, 1999) and we impose a mixture of zero and sign restrictions (Arias et al., 2014). In addition, following Pesaran and Smith (2014), we implement a counterfactual exercise in order to gauge the differences between two scenarios: with and without QE policies. Overall, we find that QE policies had significant effects over financial variables such as aggregate credit and the exchange rate. On the other hand, we find small but significant effects over inflation and output in the medium run.

Keywords: Quantitative Easing; Structural Vector Autoregressions; Sign Restrictions; Counterfactual analysis (search for similar items in EconPapers)
JEL-codes: E43 E51 E52 E58 (search for similar items in EconPapers)
Date: 2014-12
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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