The new Keynesian framework for a small open economy with structural breaks: Empirical evidence from Peru

Walter Bazán-Palomino; Gabriel Rodríguez

The new Keynesian framework for a small open economy with structural breaks: Empirical evidence from Peru

Walter Bazán-Palomino, Gabriel Rodríguez

Producción científica: Documento de trabajo

Resumen

En este documento se presenta evidencia para Perú de que la curva de Phillips Neokeynesiana, la IS Dinámica y la Regla de Taylor derivadas por Galí y Monacelli (2005) son inestables. Los resultados de la metodología de Bai y Perron (2003) sugieren que el cambio de la regla de política (Enero-2006 y Mayo-2009) induce una interrupción en el proceso de inflación (Enero-2008) y en la ecuación del mercado (Octubre-2008); este último debido a la existencia de fricciones nominales y la información incompleta en la economía Peruana. Por otra parte, las estimaciones usando el método de Qu y Perron (2007) reafirma que hay interrupciones en todo el sistema en forma reducida (Mayo-2008 y Mayo-2010). En ambos casos, el canal de expectativas se fortalece desde el año 2008 y está relacionado con los cambios en la política monetaria durante esos años.

Idioma original	Inglés
Lugar de publicación	Lima
Número de páginas	17
Estado	Publicada - 2014
Publicado de forma externa	Sí

Series de publicaciones

Nombre	Documento de trabajo
Editor	Pontificia Universidad Católica del Perú, Departamento de Economía
N.º	384
ISSN (impreso)	2079-8466
ISSN (electrónico)	2079-8474

Palabras clave

Quiebres estructurales
Curva de Phillips
Neokeynesiana
IS Dinámica
Regla de Taylor

Acceder al documento

https://repositorio.pucp.edu.pe/index/handle/123456789/47025Licencia: CC BY-NC-ND

1 Artículo de revista

The New Keynesian framework for a small open economy with structural breaks: Empirical evidence from Peru
Bazán-Palomino, W. & Rodríguez, G., 1 set. 2018, En: Structural Change and Economic Dynamics. 46, p. 13-25 13 p.
Producción científica: Contribución a una revista › Artículo de revista › revisión exhaustiva

Citar esto

@techreport{cd2ede9ea2f14c17b43409b46e07f69b,

title = "The new Keynesian framework for a small open economy with structural breaks: Empirical evidence from Peru",

abstract = "We present evidence from Peru that The New Keynesian Phillips Curve, Dynamic IS and Taylor Rule derived by Gal{\'i} and Monacelli (2005) are unstable. The results from methodology of Bai and Perron (2003) suggest that the change of the policy rule (January-2006 and May-2009) induces a break in the inflation process (January-2008) and in the market equation (October-2008); the latter due to the existence of nominal frictions and incomplete information in the Peruvian economy. Moreover, Qu and Perron (2007) estimation reaffirms that there are breaks in the entire reduced system (May-2008 and May-2010). In both cases, the channel of expectations is strengthened since 2008 and it is related to changes in the monetary policy during those years.",

keywords = "Quiebres estructurales, Curva de Phillips, Neokeynesiana, IS Din{\'a}mica, Regla de Taylor",

author = "Walter Baz{\'a}n-Palomino and Gabriel Rodr{\'i}guez",

year = "2014",

language = "English",

series = "Documento de trabajo",

publisher = "Pontificia Universidad Cat{\'o}lica del Per{\'u}, Departamento de Econom{\'i}a",

number = "384",

type = "WorkingPaper",

institution = "Pontificia Universidad Cat{\'o}lica del Per{\'u}, Departamento de Econom{\'i}a",

}

TY - UNPB

T1 - The new Keynesian framework for a small open economy with structural breaks

T2 - Empirical evidence from Peru

AU - Bazán-Palomino, Walter

AU - Rodríguez, Gabriel

PY - 2014

Y1 - 2014

N2 - We present evidence from Peru that The New Keynesian Phillips Curve, Dynamic IS and Taylor Rule derived by Galí and Monacelli (2005) are unstable. The results from methodology of Bai and Perron (2003) suggest that the change of the policy rule (January-2006 and May-2009) induces a break in the inflation process (January-2008) and in the market equation (October-2008); the latter due to the existence of nominal frictions and incomplete information in the Peruvian economy. Moreover, Qu and Perron (2007) estimation reaffirms that there are breaks in the entire reduced system (May-2008 and May-2010). In both cases, the channel of expectations is strengthened since 2008 and it is related to changes in the monetary policy during those years.

AB - We present evidence from Peru that The New Keynesian Phillips Curve, Dynamic IS and Taylor Rule derived by Galí and Monacelli (2005) are unstable. The results from methodology of Bai and Perron (2003) suggest that the change of the policy rule (January-2006 and May-2009) induces a break in the inflation process (January-2008) and in the market equation (October-2008); the latter due to the existence of nominal frictions and incomplete information in the Peruvian economy. Moreover, Qu and Perron (2007) estimation reaffirms that there are breaks in the entire reduced system (May-2008 and May-2010). In both cases, the channel of expectations is strengthened since 2008 and it is related to changes in the monetary policy during those years.

KW - Quiebres estructurales

KW - Curva de Phillips

KW - Neokeynesiana

KW - IS Dinámica

KW - Regla de Taylor

M3 - Working paper

T3 - Documento de trabajo

BT - The new Keynesian framework for a small open economy with structural breaks

CY - Lima

ER -

The new Keynesian framework for a small open economy with structural breaks: Empirical evidence from Peru

Resumen

Series de publicaciones

Palabras clave

Acceder al documento

Huella

Producción científica

The New Keynesian framework for a small open economy with structural breaks: Empirical evidence from Peru

Citar esto