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    Monetary aggregates and monetary policy in Peru

    Lahura serrano, Erick (2017) Monetary aggregates and monetary policy in Peru. Working Paper. Birkbeck, University of London, London, UK.

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    Abstract

    This paper investigates empirically the usefulness of monetary aggregates as information variables in the conduct of monetary policy. For this purpose, some recent advances on the topic were used, which include the analysis of both real-time and revised final data, and the application of Bayesian model averaging to allow for model uncertainty regarding the lag length and number of cointegrating relationships. In this paper, money is considered as an information variable for Wt (e.g. output or prices) if the following two criteria are satisfied: (i) Mt is strongly exogenous, and (ii) Mt Granger-causes Wt. Strong exogeneity is relevant because it validates conditional forecasting of Wt using monetary aggregates as conditioning variables. The results show no strong evidence supporting the usefulness of monetary aggregates as information variables for prices or output. However, this does not preclude their potential use as information variables for other macroeconomic targets such as financial stability.

    Metadata

    Item Type: Monograph (Working Paper)
    Additional Information: BCAM 1704; ISSN 1745-8587
    Keyword(s) / Subject(s): Bayesian Model Averaging, cointegration, Granger causality, monetary aggregates, monetary policy, real-time data, strong exogeneity
    School: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Research Centres and Institutes: Applied Macroeconomics, Birkbeck Centre for
    Depositing User: Administrator
    Date Deposited: 21 Mar 2019 16:21
    Last Modified: 22 Jul 2020 02:04
    URI: https://eprints.bbk.ac.uk/id/eprint/26670

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