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URI permanente para esta colecciónhttp://54.81.141.168/handle/123456789/124142
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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 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 Modeling the Volatility of Returns on Commodities: An Application and Empirical Comparison of GARCH and SV Models(Pontificia Universidad Católica del Perú. Departamento de Economía, 2020-02) Fernández, Jean; Rodríguez, GabrielSeven GARCH and stochastic volatility (SV) models are used to model and compare empirically the volatility of returns on four commodities: gold, copper, oil, and natural gas. The results show evidence of fat tails and random jumps created by supply/demand imbalances, international instability episodes, geopolitical tensions, and market speculation, among other factors. We also find evidence of a leverage effect in oil and copper, resulting from their dependence on world economic activity; and of an inverse leverage effect in gold and natural gas, consistent with the formerís role as safe asset and with uncertainty about the latterís future supply. Additionally, in most cases there is no evidence of an impact of volatility on the mean. Finally, we find that the best-performing return volatility models are GARCH-t for gold, SV-t for copper and oil, and SV with leverage effects (SV-L) for natural gas.