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URI permanente para esta colecciónhttp://54.81.141.168/handle/123456789/124142
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Ítem Acceso Abierto Regime-Switching, Stochastic Volatility, Fiscal Policy Shocks and Macroeconomic Fluctuations in Peru(Pontificia Universidad Católica del Perú. Departamento de Economía, 2024-09) Rodríguez, Gabriel; Santisteban, JosephFollowing Chan and Eisenstat (2018a), we use a family of regime-switching models with time-varying parameters and stochastic volatility (RS-VAR-SV) to analyze the evolution of fiscal shocks impacts on Peru's economic growth from 1995Q1 to 2019Q4. Key findings include: (i) identification of two distinct economic regimes with different macroeconomic fundamentals tied to improvements in fiscal and monetary policy; (ii) enhanced model fi with the inclusion of stochastic volatility; (iii) a positive trend in the size of spending multipliers, though they remain below unity; (iv) during the 2008 Global Financial Crisis, capital expenditure shocks mitigated the decline in economic growth by 2 percentage points, highlighting their counter-cyclical potential. These findings are corroborated by robustness checks, which include changes in priors, variable reordering, adjustments in external and demand variables, and extending the sample to 2022Q4 to encompass the COVID-19 crisis.Ítem Acceso 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, GabrielThis 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.Ítem Acceso Abierto Evolution over time of the effects of fiscal shocks in the peruvian economy: empirical application using TVP-VAR-SV models(Pontificia Universidad Católica del Perú. Departamento de Economía, 2023-01) Meléndez Holguín, Alexander; Rodríguez, GabrielThis study assesses the evolving impact of fiscal policy on Peru’s economic activity in 1993Q4-2018Q2 using unrestricted and restricted TVP-VAR-SV models according to the approach proposed by Chan and Eisenstat (2018a). The results indicate that SV inclusion is essential, although there is no clear evidence of time-varying parameters according to two Bayesian selection criteria. Shocks from current and capital spending growth have positive effects on GDP growth (0.2% and 0.3%, respectively, in response to a 1% increase in each variable); and play important roles in the forecast error variance decomposition (23% and 45%, respectively) and historical decompositon (14% and 25%, respectively). The impact of fiscal income shocks is weak throughout the period of the study. The current and capital spending multipliers grow in 1995Q1-2007Q4, but subsequently show lower values in 2008Q1-2018Q2. The study also finds that external shocks have a strong and positive impact on fiscal income growth (0.4%). Finally, the research includes multiple robustness exercises, which show few changes relative to the results obtained using the baseline model.Ítem Acceso Abierto Evolution of the exchange rate pass-throught into prices in Peru: an empirical application using TVP-VAR-SV models(Pontificia Universidad Católica del Perú. Departamento de Economía, 2022-05) Calero, Roberto; Rodríguez, Gabriel; Salcedo Cisneros, RodrigoWe use a set of VAR models with time-varying parameters and stochastic volatility (TVP-VARSV) to estimate the evolution of the exchange rate pass-through (ERPT) into prices for Peru over 1995Q2-2019Q4. According to two Bayesian selection criteria, the best-fitting models allow most parameters and the variances of shocks to evolve over time. The results are divided into two parts: (i) the ERPTs into import and producer prices decline significantly since the end of the 1990s until 2008. However, since 2014 both ERPTs resurge considerably due to exchange rate depreciation associated with the end of Quantitative Easing (QE), falling commodity prices, and global political events. These findings are in line with recent literature using TVP-VARSV and emphasizing ERTP resurgence after the Global Financial Crisis (GFC); (ii) the ERPT into consumer prices declined steadily throughout the sample. This is in line with the existing literature and is explained by a low-inflation context under an Inflation Targeting (IT) regime and by strong Central Bank credibility. Finally, the results are robust to a set of sensitivity exercises, including changes in the variables associated with the external shock and domestic economic activity, as well as in the values of the priors; and an estimation of the ERPT for Colombia.Ítem Acceso Abierto Time changing effects of external shocks on macroeconomic fluctuations in Peru: empirical application using regime-switching VAR models with stochastic volatility(Pontificia Universidad Católica del Perú. Departamento de Economía, 2022-03) Rodríguez, Gabriel; Chávez, PauloThis article quantifies and analyzes the evolving impact of external shocks on Peru’s macroeconomic fluctuations in 1994Q1-2019Q4. For this purpose, we use a group of models with regimeswitching time-varying parameters and stochastic volatility (RS-VAR-SV), as proposed by Chan and Eisenstat (2018). The data suggest a model with contemporaneous coefficients and constant lags and intercepts, but with regime-switching variances; and point to the existence of two regimes. The IRFs, FEVDs, and HDs show that: (i) China growth shocks have a higher impact on Peru’s output growth (around 0.8%); (ii) financial shocks contract domestic output growth by 0.3% and domestic monetary policy is synchronized with Fed rate movements; (iii) external shocks explain 35% and 70% of output fluctuations under regimes 1 and 2, respectively; and (iv) China growth shocks contributed 1.0 p.p. to the 1.1-p.p. increase (around 89%) in Peru’s output growth between regimes 1 and 2. Additionally, we validate these results by performing seven robustness exercises consisting in changing priors, reordering variables, changing variables, and using four different specications for the baseline model.Ítem Acceso 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, JuniorThis 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.Ítem Acceso Abierto Does the Central Bank of Peru respond to exchange rate movements? a bayesian estimation of a new keynesian DSGE model with FX interventions(Pontificia Universidad Católica del Perú. Departamento de Economía, 2021-12) Rodríguez, Gabriel; Castillo B., Paul; Hasegawa, HarumiThis paper assess the role played by the exchange rate and FX intervention in setting monetary policy interest rates in Peru. We estimate a Taylor rule that includes inflation, output gap and the exchange rate using a New Keynesian DSGE model that follows closely Schmitt-Grohé and Uribe (2017). The model is extended to include an explicit sterilized FX intervention rule as in Faltermeier et al. (2017). The main empirical results show, for the pre Inflation Targeting (IT) and IT periods, that the model that clearly outperforms in terms of marginal log density, features a Taylor rule that does not respond to changes in the nominal exchange rate and an active use of FX intervention by the Central Bank. We also find that the coefficient associated with the response of the Taylor rule to inflation is close to 2 and the one associated with the output gap is greater than 1; and that FX intervention has become more responsive to exchange rate fluctuations during the IT period. Finally, the estimated IRFs shows that FX intervention has contributed to reduce the volatility of GDP in response to productivity and terms of trade shocks in Peru.Ítem Acceso Abierto Time-Varying Impact of Fiscal Shocks over GDP Growth in Peru: An Empirical Application using Hybrid TVP-VAR-SV Models(Pontificia Universidad Católica del Perú. Departamento de Economía, 2020-04) Jiménez, Álvaro; Rodríguez, GabrielThis paper estimates hybrid TVP-VAR-SV models suggested by Chan and Eisentat (2018a) in order to identify and quantify the impact of fiscal shocks on the GDP growth of Peru during 1995- 2018. According to Bayesian criteria, the best model presents time-varying dynamics but not in all parameters. The results suggest: (i) fiscal shocks are significant according to the calculus of the IRFs, FEVD and HD of the GDP growth; (ii) tax revenue shocks are less important and their impact depends on the selected model and the quarter when the shock occurs; (iii) effect of capital expenditure shocks are the most important drivers of GDP growth; (iv) both fiscal expenditure shocks have been growing over the last 20 years. Finally, we suggest constant revisions of the fiscal multipliers and we think that in the following years, countercyclical fiscal policy in Peru should be mostly driven by capital expenditure.Ítem Acceso Abierto Evolution of Monetary Policy in Peru: An Empirical Application using a Mixture Innovation TVP-VAR-SV Model(Pontificia Universidad Católica del Perú. Departamento de Economía, 2020-02) Portilla, Jhonatan; Rodríguez, GabrielThis paper discusses the evolution of monetary policy (MP) in Peru in 1996Q1-2016Q4 using a mixture innovation time-varying parameter vector autoregressive model with stochastic volatility (TVP-VAR-SV) as proposed by Koop et al. (2009). The main empirical results are: (i) the VAR coefficients and volatilities change more gradually than the covariance errors over time; (ii) the volatility of MP shocks was higher under the pre-Inflation Targeting (IT) regime; (iii) a surprise increase in the interest rate produces GDP growth falls and reduces ináation in the long run; (iv) the interest rate reacts more quickly to aggregate supply (AS) shocks than to aggregate demand (AD) shocks; (v) MP shocks explain a high percentage of domestic variable behavior under the pre-IT regime but their contribution decreases under the IT regime.Ítem Acceso Abierto Macroeconomic Effects of Loan Supply Shocks: Empirical Evidence for Peru(Pontificia Universidad Católica del Perú. Departamento de Economía, 2020-02) Martínez, Jefferson; Rodríguez, GabrielThis paper quantifies and assesses the impact of an adverse loan supply (LS) shock on Peruís main macroeconomic aggregates using a Bayesian vector autoregressive (BVAR) model in combination with an identification scheme with sign restrictions. The main results indicate that an adverse LS shock: (i) reduces credit and real GDP growth by 372 and 75 basis points in the impact period, respectively; (ii) explains 11.2% of real GDP growth variability on average over the following 20 quarters; and (iii) explained a 180-basis point fall in real GDP growth on average during 2009Q1- 2010Q1 in the wake of the Global Financial Crisis (GFC). Additionally, the sensitivity analysis shows that the results are robust to alternative identiÖcation schemes with sign restrictions; and that an adverse LS shock has a greater impact on non-primary real GDP growth.