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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Ítem Acceso Abierto Regime-Switching, Stochastic Volatility, Fiscal Policy Shocks and Macroeconomic Fluctuations in Peru(Pontificia Universidad Católica del Perú. Departamento de Economía, 2024-10) 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.