From what i know with experience is that mulch can be good and bad. First the good part of using mulch is that yes it does help retain moisture so you can lessen your water bill a bit. The bad part of using mulch is that it can sometimes spread disease because too much moisture is locked in and your not allowing your soil to dry out a bit to help kill plant viruses, bad bacteria, etc. I find that peppers do love water but it is good to allow your soil to dry out a bit.
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Like other people said too, it depends on the area you live in. See i live in North Carolina, great place to grow peppers because it's temperate and the growing season is long, but it is also a sub-tropical climate. A lot of humidity and moisture is in the air, not to mention it rains and storms like crazy here, so i wouldn't use mulch because of this. In drier regions of the country it could be very helpful because drier areas hold less of a chance to allow viruses or bad bacteria to harm your plants.