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Stochastic Volatility in Mean. Empirical Evidence from Stock Latin American Markets
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2020-02)
Using a Stochastic Volatility in Mean (SVM) model, we perform an empirical study of live Latin
American indexes in order to see the impact of the volatility in the mean of the returns. We
use MCMC Hamiltonian dynamics. ...
Macroeconomic Effects of Loan Supply Shocks: Empirical Evidence for Peru
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2020-02)
This paper quantifies and assesses the impact of an adverse loan supply (LS) shock on Peruís main
macroeconomic aggregates using a Bayesian vector autoregressive (BVAR) model in combination
with an identification scheme ...
Presentation
(Pontificia Universidad Católica del Perú. Fondo Editorial, 2020-08-11)
Modeling the Volatility of Returns on Commodities: An Application and Empirical Comparison of GARCH and SV Models
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2020-02)
Seven GARCH and stochastic volatility (SV) models are used to model and compare empirically
the volatility of returns on four commodities: gold, copper, oil, and natural gas. The results
show evidence of fat tails and ...
Time-Varying Impact of Fiscal Shocks over GDP Growth in Peru: An Empirical Application using Hybrid TVP-VAR-SV Models
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2020-04)
This paper estimates hybrid TVP-VAR-SV models suggested by Chan and Eisentat (2018a) in
order to identify and quantify the impact of fiscal shocks on the GDP growth of Peru during 1995-
2018. According to Bayesian criteria, ...
Evolution of Monetary Policy in Peru: An Empirical Application using a Mixture Innovation TVP-VAR-SV Model
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2020-02)
This paper discusses the evolution of monetary policy (MP) in Peru in 1996Q1-2016Q4 using a
mixture innovation time-varying parameter vector autoregressive model with stochastic volatility
(TVP-VAR-SV) as proposed by ...