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URI permanente para esta colecciónhttp://54.81.141.168/handle/123456789/124142

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2022 - 20243

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Autorsearch.filters.applied.operator.equals: search.filters.author.Rodríguez, GabrielTemasearch.filters.applied.operator.equals: search.filters.subject.Bayesian Estimation and Comparison

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  • Miniatura
    ÍtemAcceso Abierto
    Time-Varying Effects of Financial Uncertainty Shocks on Macroeconomic Fluctuations in Peru
    (Pontificia Universidad Católica del Perú. Departamento de Economía, 2024-01) Alvarado, Mauricio; Rodríguez, Gabriel
    This article employs a family of VAR models with time-varying parameters and stochastic volatility (TVP-VAR-SV) to estimate the impact of external financial uncertainty shocks on a set of macroeconomic variables in Peru for the period from 1996Q1 to 2022Q4. The main findings can be summarized as follows: (i) a simple VAR model with stochastic volatility is sufficient to capture uncertainty dynamics compared to TVP-VAR alternatives; (ii) uncertainty shocks have a negative and significant impact on private investment growth in the medium and long term; (iii) the impact on private investment growth is three times greater than that on GDP growth; (iv) uncertainty shocks behave like aggregate supply shocks, leading to an increase in the inflation rate; and (v) uncertainty shocks have stronger effects in scenarios characterized by unfavorable financial conditions.
  • Miniatura
    ÍtemAcceso Abierto
    Time evolution of external shocks on macroeconomic fluctuations in Pacific Alliance countries: empirical application using TVP-VAR-SV models
    (Pontificia Universidad Católica del Perú, 2022-03) Rodríguez, Gabriel; Vassallo, Renato
    This article provides empirical evidence on the evolution of the impact of external shocks on the macroeconomic dynamics of the Pacific Alliance (PA) countries. For this purpose, we estimate a family of VAR models that allows time variation (or constancy) of parameters, including the variance matrix (TVP-VAR-SV). The results suggest that: (i) fluctuations from China create the most significant and persistent responses: a 1% increase in China’s growth raises growth by 0.3%-0.4% during the first year in Chile, Colombia, and Mexico; and by 0.8% in Peru; (ii) responses to export price shocks evolve considerably over time; e.g., the impact on growth in Chile and Peru tripled in 1994-2009 and then moderated until 2019; and (iii) unexpected Fed rate increases result in significant increases in AP countries’ monetary policy rates, an effect that escalates during crisis periods and further deepens the negative impact on domestic output growth. Additionally, variance decomposition shows that external factors explained over 50% of deviations in the domestic variables considered in this work. In particular, the results show that external shock absorption over the sample is higher in Mexico and Peru. In contrast, the change in domestic dynamics in absence of external disturbances would have been milder in Chile and Colombia. Finally, we perform four robustness exercises, which imply the following modifications to the baseline model: (i) changing priors; (ii) modifying two external variables; (iii) using lowdimensional models (4, 5, and 6 variables); and (iv) expanding the model by adding a fiscal policy variable. The results do not change significantly relative to those found using the baseline model.
  • Miniatura
    ÍtemAcceso Abierto
    Time-varying effects of external shocks on macroeconomic fluctuations in Peru: an empirical application using TVP-VAR- SV models
    (Pontificia Universidad Católica del Perú. Departamento de Economía, 2022-03) Rodríguez, Gabriel; Ojeda A. Cunya, Junior
    This study uses a family of VAR models with time-varying coefficients and stochastic volatility (TVP-VAR-SV) to analyze the impact of external shocks on output growth and inflation in Peru in 1992Q1-2017Q1. The statistical relevance of the models is assessed using the deviance information criterion (DIC) and the marginal log-likelihood calculated using the cross-entropy (CE) method. The results show that: (i) it is more relevant to introduce SV than TVP; i.e., the best fitting model admits only varying intercepts and SV; and TVP-VAR and CVAR are the least performing models; (ii) the models impulse response functions indicate that the impacts from external shocks are different under high inflation, economic crisis, and monetary policy change, with a greater impact in episodes of high uncertainty; (iii) the impact and importance of external shocks has increased over time; and (iv) the results are robust to changes in the priors, the lag structure, order of the variables, the external variable, and the variable for domestic economic activity.