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The New Keynesian Framework for a Small Open Economy with Structural Breaks: Empirical Evidence from Peru
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2014)
We present evidence from Peru that The New Keynesian Phillips Curve, Dynamic IS and Taylor Rule derived by Galí and Monacelli (2005) are unstable. The results from methodology of Bai and Perron (2003) suggest that the ...
Distinguishing between True and Spurious Long Memory in the Volatility of Stock Market Returns in Latin America
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2014)
In this study, we investigate the long term dependence or long memory present in the volatility of the stock market returns of Peru, Brazil, Mexico, Chile, Argentina, and the S&P500. We start analyzing the form of the ...
Extreme Value Theory: An Application to the Peruvian Stock Market Returns
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2014)
Using daily observations of the index and stock market returns for the Peruvian case from January 3, 1990 to May 31, 2013, this paper models the distribution of daily loss probability, estimates maximum quantiles and tail ...
Volatility of Stock Market and Exchange Rate Returns in Peru: Long Memory or Short Memory with Level Shifts?
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2014)
Though the econometrics literature on this area is extensive, in Peru few studies have been dedicated to the analysis of financial returns in general and volatility in particular. As part of an empirical research agenda ...
Descomposición Histórica de la Inflación en Perú. Distinguiendo entre choques de demanda y choques de oferta
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2010)
Este documento distingue y explica el rol y la importancia de los choques de demanda y oferta agregada en el comportamiento de la inflación Peruana durante el periodo 1997:1-2009:2. Para esto se utiliza la metodología de ...
Growth of the peruvian economy and convergence in the regions of Perú: 1970-2010
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2013)
The Peruvian economy has been growing sustainably during the last 15 years. Verifying whether the Departments (or Regions) have achieved a process of convergence, be it towards a single stationary state or its own stationary ...
Do labor reforms in Spain have an effecto on the equilibrium unemployment rate?
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2013)
In this paper, we analyze the impact of several labor reforms in Spain on its equilibrium unemployment rate. To this end, we analyzed the behavior of the observed unemployment rate in Spain during the 1976-2012 period, ...
An Application of a Random Level Shifts Model to the Volatility of Peruvian Stock and Exchange Rates Returns
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2014)
The literature has shown that the volatility of Stock and Forex rate market returns shows the characteristic of long memory. Another fact that is shown in the literature is that this feature may be spurious and volatility ...
A Note on the Size of the ADF Test with Additive Outliers and Fractional Errors. A Reapraisal about the (non) stationarity of the Latin-American Inflation Series
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2013)
This note analyzes the empirical size of the augmented Dickey and Fuller (ADF) statistic proposed by Perron and Rodríguez (2003) when the errors are fractional. This ADF is based on a searching procedure for additive ...
Convergencia en las Regiones del Perú: ¿Inclusión o Exclusión en el Crecimiento de la Economía Peruana (1970-2010)?
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2014)
La economía peruana ha venido creciendo sostenidamente en los últimos 15 años. Verificar si los departamentos (o regiones) han logrado un proceso de convergencia ya sea hacia un solo estado estacionario o a su propio estado ...