Search
Now showing items 1-6 of 6
An Application of a Random Level Shifts Model to the Volatility of Peruvian Stock and Exchange Rates Returns
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2014)
La literatura ha mostrado que la volatilidad de los retornos bursátiles y cambiarios muestra la característica de larga memoria. Otro hecho mostrado en la literatura es que dicha característica puede ser espúria y que en ...
Nivel de precios y actividad económica: Un ensayo económico en el virreinato del Perú (siglos XVI-XVII)
(Pontificia Universidad Católica del Perú. Fondo Editorial, 2000)
Este ensayo trata sobre variables económicas básicas: precios, acuñación y nivel de actividad económica. Los datos provienen de fuentes publicadas y conocidas; han sido desarrollados en forma de series cronológicas.De esta ...
A Short Term Forecasting Model for the Spanish GDP and its Demand Components
(Pontificia Universidad Católica del Perú. Fondo Editorial, 2020-03-10)
This paper proposes a new version of the Spain-STING (Spain, Short-Term INdicator of Growth), a dynamic factor model used by the Banco de España for the short-term forecasting of the Spanish economy. The extended and revised ...
Searching for the Best Inflation Forecasters within an Employment Survey: Microdata Evidence from Chile
(Pontificia Universidad Católica del Perú, 2022-08-01)
This article aims to evaluate quantitative inflation forecasts for the Chilean economy, taking advantage of a specific survey of consumer perceptions at the individual microdata level, which, at the same time, is linked ...
Forecasting Commodity Prices with Switching Regimes: The Case of Fishmeal Prices
(Pontificia Universidad Católica del Perú. CENTRUM, 2010)
The objective of this paper is to present a parsimonious forecasting model of the fishmeal price. The focus is on the impact of the soybean meal market on the fishmeal price together with the stocks-to-use as an indicator ...
An Empirical Application of a Random Level Shifts Model with Time-Varying Probability and Mean Reversion to the Volatility of Latin-American Forex Markets Returns
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2016-03)
Following Xu and Perron (2014), this paper uses daily data for six Forex Latin American markets. Four models of the family of the Random Level Shift (RLS) model are estimated: a basic model where probabilities of level ...