This article aims to determine the effects of inflation and risk premium shocks on the cost of credit in Peru in recent years, with a particular focus on the impact of risk premiums. A structural VAR is applied to measure the effects of inflation and the risk premium on the cost of credit, considering the endogeneity among these three variables. The results reveal a significant impact of inflation and risk premium errors on the cost of credit in the medium term. This research highlights the potential for new policies aimed at reducing the various risks present in the Peruvian economy, as well as the effectiveness of monetary policy in maintaining low inflation rates.
Oviedo et al. (Wed,) studied this question.
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