Empirical study of the neutrality of money in the Peruvian economy, 1992: I-2024: II

Resumo

This article assesses the existence of evidence in favor of the non-neutrality hypothesis of money for the Peruvian economy considering the schemes applied by the Central Reserve Bank of Peru (BCRP) between 1992 and 2024. The analysis covers two sub-periods that reflect different monetary regimes: 1992–2001, corresponding to the monetary-aggregates targeting framework, and 2002–2024, corresponding to the inflation-targeting framework officially adopted by the BCRP. A variation of the Mc Gee and Stasiak (1985) methodology was applied for the first period (1992–2001) by estimating vector autoregressive (VAR) models for the real variables with each nominal variable. Furthermore, for the second period (2002-2024), the Pandemic Priors methodology of Cascaldi-García (2022) and Lenza and Primiceri (2022) was applied by incorporating Bayesian vector autoregressive (BVAR) models, in order to mitigate the distorting effects of the Covid-19 pandemic on the econometric estimates. The results show evidence of monetary non-neutrality in the short-term (ST) for primary issuance and monetary aggregates during the two periods analyzed, while in the long-term (LT) its effects are stabilized, albeit with some heterogeneity depending on the monetary policy applied. In summary, the findings strengthen empirical knowledge about the impact of money on the aggregate variables analyzed and also motivate the exploration of new methodological tools to further deepen the study of monetary neutrality, such as BVARs with Pandemic Priors.