http://www.bis.org/cbhub/list/author/author_4428/index.rss Research hub papers by author Diego Winkelried en http://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2012/documento-de-trabajo-23-2012.pdf Central Reserve Bank of Peru Working Papers by Diego Winkelried Predicting quarterly aggregates with monthly indicators 2012-12-29T06:23:00Z Many important macroeconomic variables measuring the state of the economy are sampled quarterly and with publication lags, although potentially useful predictors are observed at a higher frequency almost in real time. This situation poses the challenge of how to best use the available data to infer the state of the economy. This paper explores the merits of the so-called Mixed Data Sampling (MIDAS) approach that directly exploits the information content of monthly indicators to predict quarterly Peruvian macroeconomic aggregates. To this end, we propose a simple extension, based on the notion of smoothness priors in a distributed lag model, that weakens the restrictions the traditional MIDAS approach imposes on the data to achieve parsimony. We also discuss the workings of an averaging scheme that combines predictions coming from non-nested specifications. It is found that the MIDAS approach is able to timely identify, from monthly information, important signals of the dynamics of the quarterly aggregates. Thus, it can deliver significant gains in prediction accuracy, compared to the performance of competing models that use exclusively quarterly information. Predicting quarterly aggregates with monthly indicators 2012-12-29T06:23:00Z Full text http://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2012/documento-de-trabajo-23-2012.pdf Diego Winkelried Diego Winkelried 2012-12 Central Reserve Bank of Peru Working Papers http://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2012/documento-de-trabajo-18-2012.pdf Central Reserve Bank of Peru Working Papers by Diego Winkelried and José Enrique Gutierrez Regional inflation dynamics and inflation targeting in Peru 2012-10-11T12:37:00Z The Central Reserve Bank of Peru (BCRP) has been targeting inflation for more than a decade, using Lima's inflation as the operational measure. An alternative indicator is countrywide inflation, whose quality and real-time availability have improved substantially lately. Hence, given these two somehow competing measures of inflation, two interesting policy questions arise: what have been the implications for national inflation of targeting Lima's inflation? Would shifting to a national aggregate significantly affect the workings of monetary policy in Peru? To answer these questions, we estimate an error correction model of regional inflations and investigate how shocks propagate across the country. The model incorporates (i) aggregation restrictions whereby each regional inflation is affected by an aggregate of neighboring regions, and (ii) long-run restrictions that uncover a single common trend in the system. The results indicate that a shock to Lima's inflation is transmitted fast and strongly elsewhere in the country. This constitutes supporting evidence to the view that by targeting Lima's inflation, the BCRP has effectively, albeit indirectly, targeted national inflation. Regional inflation dynamics and inflation targeting in Peru 2012-10-11T12:37:00Z Full text http://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2012/documento-de-trabajo-18-2012.pdf José Enrique Gutierrez Diego Winkelried Diego Winkelried and José Enrique Gutierrez 2012-10 Central Reserve Bank of Peru Working Papers http://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2012/documento-de-trabajo-11-2012.pdf Central Reserve Bank of Peru Working Papers by Diego Winkelried and Miguel Angel Saldarriaga Trade linkages and growth in Latin America: A time-varying SVAR approach 2012-04-25T12:37:59Z This paper examines how shocks originated in large economies around the globe have transmitted to the growth rates of Latin American countries. For this purpose, a highly parsimonious structural VAR model - identified through bilateral trade linkages - is proposed, tested, estimated and simulated. Since trade weights evolve through time, the effect of shocks are time-varying. Thus, we are able to quantify how growth in the region has been affected by tighter trading linkages with fast-growing emerging economies, and how it has responded to a new world trade structure, featuring China as a major player. It is found that about half of the vigourous growth reported in Latin American countries by the end of the 2000s can be attributed to (direct and especially indirect) multiplier effects induced by the spectacular growth of the Chinese economy over the same period. Trade linkages and growth in Latin America: A time-varying SVAR approach 2012-04-25T12:37:59Z Full text http://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2012/documento-de-trabajo-11-2012.pdf Diego Winkelried Miguel Angel Saldarriaga Diego Winkelried and Miguel Angel Saldarriaga 2012-04 Central Reserve Bank of Peru Working Papers C32 C50 E32 F44 O54 http://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2011/Documento-de-Trabajo-12-2011.pdf Central Reserve Bank of Peru Working Papers by Diego Winkelried Exchange rate pass-through and inflation targeting in Peru 2011-08-03T06:21:59Z It has been widely documented that the exchange rate pass-through to domestic inflation has decreased significantly in most of the industralised world. As microeconomic factors cannot completely explain such a widespread phenomenon, a macroeconomic explanation linked to the inflationary environment - that a low and more stable inflation rate leads to a decrease in the pass-through - have gained popularity. Using a structural VAR framework, this paper presents evidence of a similar decline in the pass-through in Peru, a small open economy that gradually reduced inflation to international levels in order to adopt a fully-fledged inflation targeting scheme in 2002. It is argued that the establishment of a credible regime of low inflation has been instrumental in driving the exchange rate pass-through down. Exchange rate pass-through and inflation targeting in Peru 2011-08-03T06:21:59Z Full text http://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2011/Documento-de-Trabajo-12-2011.pdf Diego Winkelried Diego Winkelried 2011-08 Central Reserve Bank of Peru Working Papers http://www.bcrp.gob.pe/bcr/dmdocuments/Publicaciones/Wpapers/DT2007_004.pdf Central Reserve Bank of Peru Working Papers by Paul Castillo, Diego Winkelried Dollarization Persistence and Individual Heterogeneity 2008-03-03T17:36:00Z *** Warning - contains HTML *** Dollarization Persistence and Individual Heterogeneity 2008-03-03T17:36:00Z Abstract http://www.bcrp.gob.pe/bcr/ingles/Working-Papers/eDT-2007004-Dollarization-Persistence-and-Individual-Heteroge.html Full text http://www.bcrp.gob.pe/bcr/dmdocuments/Publicaciones/Wpapers/DT2007_004.pdf Paul Castillo Diego Winkelried Paul Castillo, Diego Winkelried 004-07 Central Reserve Bank of Peru Working Papers C43 E50 F30 http://www.ijcb.org/journal/ijcb05q4a5.pdf IJCB International Journal of Central Banking by Marco Vega and Diego Winkelried Inflation Targeting and Inflation Behavior: A Successful Story? 2005-12-14T19:55:00Z Inflation Targeting and Inflation Behavior: A Successful Story? 2005-12-14T19:55:00Z Abstract http://www.ijcb.org/journal/ijcb05q4a5.htm Full text http://www.ijcb.org/journal/ijcb05q4a5.pdf Diego Winkelried Marco Vega Marco Vega and Diego Winkelried 2005-12 IJCB International Journal of Central Banking C50 E42 E52