Departamento Académico de Economía

URI permanente para esta comunidadhttp://54.81.141.168/handle/123456789/124141

El Departamento de Economía de la Pontificia Universidad Católica del Perú fue creado en agosto de 1969 y desde entonces el equipo de profesores que lo conforman se ha caracterizado tanto por su labor docente como por su dedicación permanente a la investigación de los temas relevantes para la sociedad y la economía peruana.
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Autorsearch.filters.applied.operator.equals: search.filters.author.Ojeda A. Cunya, Junior

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    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.