The Dynamic Effects of Interest Rates and Reserve Requirements
Pérez-Forero, Fernando and
Marco Vega ()
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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
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
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Persistent link: https://EconPapers.repec.org/RePEc:rbp:wpaper:2014-018
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