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.
Ingresa a su web: Departamento de Economía

Explorar

Autorsearch.filters.applied.operator.equals: search.filters.author.Rodríguez, GabrielTemasearch.filters.applied.operator.equals: search.filters.subject.Macroeconomic Fluctuations

Resultados de búsqueda

Mostrando 1 - 2 de 2
  • 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 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, Paulo
    This 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.