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15.02.2024
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We present evidence from Peru that The New Keynesian Phillips Curve, Dynamic IS and Taylor
Rule derived by GalÌ 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 ináation 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 rea¢ rms 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.
JEL ClassiÖcation: C32, C51, E31.
Keywords: Structural Breaks, New Keynesian Phillips Curve, Dynamic IS, Taylor Rule.
Resumen
En este documento se presenta evidencia para Per˙ de que la curva de Phillips Neokeynesiana, la IS
Din·mica y la Regla de Taylor derivadas por GalÌ y Monacelli (2005) son inestables. Los resultados
de la metodologÌa de Bai y Perron (2003) sugieren que el cambio de la regla de polÌtica (Enero-2006
y Mayo-2009) induce una interrupciÛn en el proceso de ináaciÛn (Enero-2008) y en la ecuaciÛn del
mercado (Octubre-2008); este ˙ltimo debido a la existencia de fricciones nominales y la informaciÛn
incompleta en la economÌa Peruana. Por otra parte, las estimaciones usando el mÈtodo de Qu y
Perron (2007) reaÖrma 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 aÒo 2008 y est·
relacionado con los cambios en la polÌtica monetaria durante esos aÒos.
ClassiÖcaciÛn JEL: C32, C51, E31
Palabras Claves: Quiebres Estructurales, Curva de Philips Neokeynesiana, IS Din·mica, Regla
de Taylor.
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