Does Inflation in Peru Exhibit Asymmetric Dynamics? A Quantile-Based Approach
This article analyzes the dynamics of headline inflation, core inflation (excluding food and energy), and the variation in food and energy prices in Peru using a quantile autoregression approach. This method allows for the identification of possible asymmetries in the reversion of inflation to its long-term level, depending on the quantile of its distribution, associated with the size and sign of the shock experienced. The results show that both the sign and the magnitude of the shock significantly influence the speed with which headline, core, and food and energy inflation adjust to their long-term equilibrium level: in lower quantiles, negative inflation shocks are observed, which are less persistent, while in higher quantiles, positive inflation shocks are observed, which are more persistent. When considering the beginning of the application of the explicit inflation targeting scheme, inflation persistence decreases across all quantiles, evidencing the effectiveness of monetary policy.
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