Volumen 42 Número 84 (2019)
Permanent URI for this collectionhttp://54.81.141.168/handle/123456789/175937
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Item Metadata only A Note on Forecasting Daily Peruvian Stock Market Volatility Risk Using Intraday Returns(Pontificia Universidad Católica del Perú. Fondo Editorial, 2019-10-29) Zevallos, MauricioIn this paper I present a model to forecast the daily Value at Risk (VaR) of the Peruvian stock market (measured through the general index of the Lima Stock Exchange: the IGBVL) based on intraday (high-frequency) data. Daily volatility is estimated using realised volatility and I adopted a regression quantile approach to calculate one-step predicted VaR values. The results suggest that the realised volatility is a useful measure to explain the Peruvian stock market volatility and I obtained sound results using quantile regression for risk estimation.Item Metadata only Productivity Growth: Patterns and Determinants across the World(Pontificia Universidad Católica del Perú. Fondo Editorial, 2019-10-29) Kim, Young Eun; Loayza, Norman V.This is the background paper for the productivity extension of the World Bank’s Long-Term Growth Model (LTGM). Based on an extensive literature review, the paper identifies the main determinants of economic productivity as innovation, education, market efficiency, infrastructure, and institutions. Based on underlying proxies, the paper constructs indexes representing each of the main categories of productivity determinants and, combining them through principal component analysis, obtains an overall determinant index. This is done for every year in the three decades spanning 1985-2015 and for more than 100 countries. In parallel, the paper presents a measure of total factor productivity (TFP), largely obtained from the Penn World Table, and assesses the pattern of productivity growth across regions and income groups over the same sample. The paper then examines the relationship between the measures of TFP and its determinants. The variance of productivity growth is decomposed into the share explained by each of its main determinants, and the relationship between productivity growth and the overall determinant index is identified. The variance decomposition results show that the highest contributor among the determinants to the variance in TFP growth is market efficiency for Organisation for Economic Co-operation and Development countries and education for developing countries in the most recent decade. The regression results indicate that, controlling for country- and time-specific effects, TFP growth has a positive and significant relationship with the proposed TFP determinant index and a negative relationship with initial TFP. This relationship is then used to provide a set of simulations on the potential path of TFP growth if certain improvements on TFP determinants are achieved. The paper presents and discusses some of these simulations for groups of countries by geographic region and income level. In addition, as a country-specific illustration, the paper presents simulations on the potential path of TFP growth for Peru under various scenarios. An accompanying Excelbased toolkit, linked to the LTGM, provides a larger set of simulations and scenario analysis at the country level for the next few decades.Item Metadata only The Economic Legacy of General Velasco: Long-Term Consequences of Interventionism(Pontificia Universidad Católica del Perú. Fondo Editorial, 2019-10-29) Martinelli, César; Vega, MarcoWe apply synthetic control methods to study the long-term consequences of the interventionist and collectivist reforms implemented by the Peruvian military junta of 1968–1975. We compare long-term outcomes for the Peruvian economy following the radical reforms of the early 1970s with those of two controls made of similar countries, one chosen in the Latin American region and another one chosen from the world at large. We find that the economic legacy of the junta includes sizable loses in GDP along two decades, beyond those that can be attributed to adverse international circumstances. The evidence suggests that those loses can be attributed both to a decline in capital accumulation and to a fall in productivity.Item Metadata only Subsidizing Innovation and Production(Pontificia Universidad Católica del Perú. Fondo Editorial, 2019-10-29) Atallah, GamalThis paper studies the interaction between production subsidies and innovation subsidies. We develop a model which allows us to calculate the socially optimal subsidies (and how they vary with changes in the economic environment), and to understand how firms react to each type of subsidy. In a three-stage game, the government chooses production and innovation subsidies in the first stage to maximize welfare in the presence of a shadow cost of public funds; two firms invest in cost-reducing R&D in the second stage; and the two firms compete in quantities in the last stage. We find that production subsidies crowd out innovation. On the other hand, providing a production subsidy reduces the cost of the innovation subsidy, and vice versa. The optimal production subsidy either increases monotonically with spillovers, or is U-shaped with respect to spillovers, depending on exogenous parameters. The innovation subsidy is increasing in spillovers. The production subsidy is higher for very low spillovers, while the innovation subsidy is higher for moderate/high spillovers. In equilibrium, because of the innovation subsidy, R&D increases with spillovers, and so does welfare. We also consider the case of a financially constrained government, as well as the case of a uniform subsidy to production and innovation costs.Item Metadata only Presentation(Pontificia Universidad Católica del Perú. Fondo Editorial, 2019-10-29) Rodriguez, GabrielNo presenta resumenItem Metadata only Probit Models for Grouped-data Migration Flows: A Theoretical Note(Pontificia Universidad Católica del Perú. Fondo Editorial, 2019-10-29) Chasco, Coro; Aroca, Patricio; Anselin, LucIn this theoretical note, we propose the GProbit model as an alternative to gravity models to estimate grouped-data flows. This is a model based on the random utility theory, which is consistent with the principle of population behavior. Instead of migrant counts, the dependent variable of the GProbit model of flows consists of a number of observed proportions. It allows explaining the propensity to migrate from any origin to a destination, which is an interesting relative concept not affected by the size effect. For this reason, it is expected to have better fit and less problems of non-normality, as illustrated by an application for the internal migration flows of the Spanish regions.