El efecto traspaso de la tasa de interés de política monetaria en Perú: Evidencia reciente

The main purpose of this paper is to estimate the effect of changes in the monetary policy interest rate on existing loan and deposit interest rates of the Peruvian banking sector, known as “interest rate pass-through”, and its speed of transmission. For this purpose, we estimate linear and nonlinear error correction models that assume the existence of a long term relationship between each bank interest rate and the monetary policy rate. The results for the period August 2010 to May 2017 show that the pass-through effect: (i) is greater on active interest rates than on passive interest rates, (ii) it is greater for interest rates on short-term (less than one year) loans compared to long-term loans, and (iii) it is close to 1 for interest rates on short-term loans. With respect to the speed of transmission, we find that: (i) interest rates on short-term loans adjust faster than those on long-term loans, and (ii) interest rates on loans adjust on average faster than those on deposits. (Audio: Department of Economic Publications)