Economics at your fingertips  

The Dynamic Effects of Interest Rates and Reserve Requirements

Pérez-Forero, Fernando and Marco Vega ()
Additional contact information
Pérez-Forero, Fernando: Banco Central de Reserva del Perú

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

No 2014-018, Working Papers from Banco Central de Reserva del Perú

Abstract: This paper quantifies the dynamic macroeconomic effects derived from both; shocks to conventional monetary policy and shocks to reserve requirement ratios applied to bank deposits in Peru. The analysis tackles reserve requirements on domestic as well as foreign currency deposits. Structural Vector Autoregressive (SVAR) models are identified through a mixture of zero and sign restrictions for the period 1995-2013. Contractionary monetary policy shocks generate a negative effect on aggregate credit and a positive effect on bank spreads between loan and deposit rates. Likewise, shocks to the two reserve requirement ratios produce a negative effect on aggregate credit in their corresponding currencies and a mild effect on both aggregate real economic activity and the price level. We consider possible mechanisms that may help explain the dynamic effects uncovered in the paper.

Keywords: Monetary Policy; Interest Rates; Reserve Requirements; Sign Restrictions (search for similar items in EconPapers)
JEL-codes: E43 E51 E52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
Date: 2014-12
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link) ... -trabajo-18-2014.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:

Access Statistics for this paper

More papers in Working Papers from Banco Central de Reserva del Perú Contact information at EDIRC.
Bibliographic data for series maintained by Research Unit ().

Page updated 2019-10-11
Handle: RePEc:rbp:wpaper:2014-018