Effects of Macroprudential Policy Shocks on Macroeconomic and Financial Stability in Peru: An SVAR Analysis
DOI:
https://doi.org/10.26867/se.2026.15.2.320Keywords:
Financial and Macroeconomic stability, Macroprudential policy , SVARAbstract
While empirical literature on macroprudential policy exists for both advanced and emerging economies, studies that simultaneously analyze its effects on macroeconomic and financial variables within the Peruvian context are scarce, limiting the availability of evidence for the design of public policies aimed at preserving national financial system stability. This study sought to fill that gap by analyzing the effects of macroprudential policy on the preservation of macroeconomic and financial stability in Peru over the period 2003–2022, using monthly data. The policy tools evaluated are the global capital ratio and the reserve requirement; the stability variables considered include credit, asset prices, capital flows, liquidity, gross domestic product, inflation, and the exchange rate. Following a quantitative approach, a Structural Vector Autoregression econometric model was employed. The results suggest that the global capital ratio reduces credit, while the reserve requirement helps maintain liquidity in the banking system. From a financial stability perspective, these contractionary effects on credit and capital flows are desirable, as they reflect the capacity of these instruments to moderate the accumulation of systemic vulnerabilities. Additionally, favorable effects on asset prices were found, along with more moderate effects on GDP containment, CPI stability, and exchange rate control. Overall, the results indicate that macroprudential policies contribute positively to safeguarding the financial system and maintaining macroeconomic stability in Peru.
References
Agénor, P.-R., & Pereira da Silva, L. A. (2016). Reserve requirements and loan loss provisions as countercyclical macroprudential instruments: A perspective from Latin America. Inter-American Development Bank. https://publications.iadb.org/en/publications/english/viewer/Reserve-Requirements-and-Loan-Loss-Provisions-as-Countercyclical-Macroprudential-Instruments-A-Perspective-from-Latin-America.pdf
Aguirre, H. A., & Blanco, E. F. (2015). Credit and macroprudential policy in an emerging economy: A structural model assessment (BIS Working Papers No. 504). Bank for International Settlements. https://www.bis.org/publ/work504.pdf
Ampudia, M., Lo Duca, M., Farkas, M., Pérez-Quirós, G., Pirovano, M., Rünstler, G., & Tereanu, E. (2021). On the effectiveness of macroprudential policy (Discussion Paper No. 2559). European Central Bank. https://doi.org/10.2866/869839
Banco Central de Reserva del Perú. (2024). BCRPData. Recuperado el 29 de julio de 2026, de https://estadisticas.bcrp.gob.pe/estadisticas/series/
Bank for International Settlements. (2022). Macro-financial stability frameworks and external financial conditions. https://www.bis.org/publ/othp53.htm
Başkaya, Y., Shim, I., & Turner, P. (2024). Financial development and the effectiveness of macroprudential and capital flow management measures (BIS Working Papers No. 1158). Bank for International Settlements. https://www.bis.org/publ/work1158.pdf
Belkhir, M., Ben Naceur, S., Candelon, B., & Wijnandts, J.-C. (2020). Macroprudential policies, economic growth, and banking crises (IMF Working Paper No. 20). International Monetary Fund. https://www.imf.org/en/Publications/WP/Issues/2020/05/22/Macroprudential-Policies-Economic-Growth-and-Banking-Crises-49264
Bernanke, B. S. (1986). Alternative explanations of the money-income correlation (NBER Working Paper No. 1842). National Bureau of Economic Research. https://www.nber.org/system/files/working_papers/w1842/w1842.pdf
Beyer, A., Nicoletti, G., Papadopoulou, N., Papsdorf, P., Rünstler, G., Schwarz, C., Sousa, J., & Vergote, O. (2017). The transmission channels of monetary, macro- and microprudential policies and their interrelations. European Central Bank. https://doi.org/10.2866/138051
Blanchard, O., & Quah, D. (1989). The dynamic effects of aggregate demand and supply disturbances. American Economic Review, 79(4), 655–673. http://www.jstor.org/stable/1827924
Blanchard, O., & Watson, M. W. (1986). Are business cycles all alike? National Bureau of Economic Research. https://www.nber.org/system/files/working_papers/w1392/w1392.pdf
Borio, C. (2003). Towards a macroprudential framework for financial supervision and regulation? (BIS Working Papers No. 128). Bank for International Settlements. https://www.bis.org/publ/work128.pdf
Bortz, P. (2023). Financial openness, financial fragility and policies for economic stability: A comparative analysis across regions of the developing world (E. Pérez, Ed.). Economic Commission for Latin America and the Caribbean. www.issuu.com/publicacionescepal/stacks
Cantú, C., Gondo, R., & Martínez, B. (2024). Reserve requirements as a financial stability instrument (BIS Working Papers No. 1182). Bank for International Settlements. https://www.bis.org/publ/work1182.htm
Çelik, M., & Binatlı, A. O. (2022). How effective are macroprudential policy instruments? Evidence from Turkey. Economies, 10(4). https://doi.org/10.3390/economies10040076
Census Bureau. (2024). X-13ARIMA-SEATS seasonal adjustment program. Recuperado el 29 de julio de 2026, de https://www.census.gov/data/software/x13as.html
Cerutti, E., Correa, R., Fiorentino, E., & Segalla, E. (2016). Changes in prudential policy instruments: A new cross-country database. International Banking Research Network. https://www.newyorkfed.org/IBRN/index.html
Choy, M., & Chang, G. (2014). Medidas macroprudenciales aplicadas en el Perú. Revista Estudios Económicos, 27, 25–50. https://www.bcrp.gob.pe/docs/Publicaciones/Revista-Estudios-Economicos/27/ree-27-choy-chang.pdf
Claessens, S., Habermeier, K., Nier, E., Kang, H., Mancini-Griffoli, T., & Valencia, F. (2013). The interaction of monetary and macroprudential policies. International Monetary Fund. https://www.imf.org/external/np/pp/eng/2013/012913.pdf
Davoodi, H. R., Montiel, P., & Ter-Martirosyan, A. (2021). Macroeconomic stability and inclusive growth (IMF Working Paper No. 2021/081). International Monetary Fund. https://www.imf.org/-/media/files/publications/wp/2021/english/wpiea2021081-print-pdf.pdf
Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366), 427–431. https://www.jstor.org/stable/2286348
Drehmann, M., & Tarashev, N. (2011). Measuring the systemic importance of interconnected banks (BIS Working Papers No. 342). Bank for International Settlements. https://www.bis.org/publ/work342.pdf
Epure, M., Mihai, I., Minoiu, C., & Peydró, J.-L. (2017). Household credit, the global financial cycle, and macroprudential policies: Credit register evidence from an emerging country. International Monetary Fund. https://www.imf.org/en/Publications/WP/Issues/2018/01/24/Household-Credit-Global-Financial-Cycle-and-Macroprudential-Policies-Credit-Register-45579
Estrada, Á., & Mencía, J. (2021). El cuadro de mandos de la política macroprudencial. ICE, Revista de Economía, 918. https://doi.org/10.32796/ice.2021.918.7154
Fernández, A., Rebucci, A., & Uribe, M. (2015). Are capital controls countercyclical? Journal of Monetary Economics, 76, 1–14. https://doi.org/10.1016/j.jmoneco.2015.07.001
García-Cicco, J., Kirchner, M., & Justel, S. (2014). Financial frictions and the transmission of foreign shocks in Chile. https://repositorio.uca.edu.ar/bitstream/123456789/15035/1/financial-frictions.pdf
Granger, C. W. J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37(3), 424–438. https://www.jstor.org/stable/1912791
Hamilton, J. D. (1994). Time series analysis. Princeton University Press. https://www.jstor.org/stable/j.ctv14jx6sm
Hernández, R., Fernández, C., & Baptista, M. del P. (2014). Metodología de la investigación (6.ª ed.; M. I. Rocha Martínez, Ed.). McGraw-Hill / Interamericana Editores. https://www.esup.edu.pe/wp-content/uploads/2020/12/2.%20Hernandez,%20Fernandez%20y%20Baptista-Metodolog%C3%ADa%20Investigacion%20Cientifica%206ta%20ed.pdf
International Monetary Fund, Financial Stability Board, & Bank for International Settlements. (2016). Elements of effective macroprudential policies: Lessons from international experience.
International Monetary Fund, Bank for International Settlements, & Financial Stability Board. (2009). Guidance to assess the systemic importance of financial institutions, markets, and instruments: Initial considerations. Report to the G-20 finance ministers and central bank governors.
Kim, S., & Mehrotra, A. (2019). Examining macroprudential policy and its macroeconomic effects: Some new evidence (BIS Working Papers No. 825). Bank for International Settlements. https://www.bis.org/publ/work825.htm
Lütkepohl, H. (2005). New introduction to multiple time series analysis. Springer-Verlag. https://econpapers.repec.org/bookchap/sprsprbok/978-3-540-27752-1.htm
Nier, E., Osiński, J., Allison, J., Baba, C., Ehrentraud, J., Kim, Y., Kang, H., Krznar, I., Mitra, S., Mondino, T., Ratnovski, L., Hara, S., Ismael, M., Le Lesle, V., Stuart, A., Kitili, A., & Loukoianova, E. (2013). Key aspects of macroprudential policy. International Monetary Fund.
Ntwaepelo, K. M. (2021). The effects of macroprudential and monetary policy shocks in BRICS economies. University of Reading. https://www.reading.ac.uk/web/FILES/economics/emdp202120.pdf
Phillips, P., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346. https://users.ssc.wisc.edu/~bhansen/718/PhillipsPerron1988.pdf
Ribeiro, J. (2014). Medidas macroprudenciales y manejo de política monetaria en una economía pequeña y abierta [Tesis, Pontificia Universidad Católica del Perú]. Repositorio PUCP. https://repositorio.pucp.edu.pe/items/2721fdf8-fee2-44a3-8228-bfe49ae9c51c
Rojas, C. (2017). Políticas monetaria y macroprudencial óptimas post Basilea III. Revista Estudios Económicos. www.bcrp.gob.pe/publicaciones/revista-estudios-economicos.html
Salinas, J. (2021). Effectiveness of the implementation of dynamic provisioning and reserve requirements as macroprudential tools in Peru. Superintendencia de Banca, Seguros y AFP. https://www.sbs.gob.pe/Portals/0/jer/DDT_ANO2021/DT%2003%202021.pdf
Schinasi, G. J. (2006). Safeguarding financial stability: Theory and practice. International Monetary Fund. https://www.imf.org/External/Pubs/NFT/2005/SFS/eng/sfs.pdf
Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 48(1). https://www.pauldeng.com/pdf/Sims%20macroeconomics%20and%20reality.pdf
Smets, F. (2014). Financial stability and monetary policy: How closely interlinked? International Journal of Central Banking, 10(2). https://www.ijcb.org/sites/default/files/journal/v10n2/ijcb-v10n2-financial-stability-and-monetary-policy-how-closely-interlinked.pdf
Valenzuela, K. (2019). Efectos de las políticas macroprudenciales aplicadas en el Perú en el nivel de crédito bancario [Tesis, Universidad Peruana de Ciencias Aplicadas]. Repositorio Académico UPC. https://repositorioacademico.upc.edu.pe/server/api/core/bitstreams/903c5928-fc31-5a81-9919-0e824c6c5509/content
Downloads
Published
Issue
Section
License
Copyright (c) 2026 Cristian Rodrigo Vilca Mamani, Marcel Edgar Huaclla Goméz
This work is licensed under a Creative Commons Attribution 4.0 International License.
