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Estimation of the Sovereign Yield Curve of Peru: The Role of Macroeconomic and Latent Factors
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2017-03)
The study of the yield curve has been a topic that interested economists for a long time since the term structure of interest rates is an important transmission channel of monetary policy to inflation and real activity. ...
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)
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 ...
Teaching Modern Macroeconomics in the Mundell-Fleming Language: The IS-MPR-UIP-AD-AS Model
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2017-09)
The traditional open aggregate demand and aggregate supply model backed by the Mundell-Fleming model, together with the supply curve that relates the price level to the output gap, should be abandoned in undergraduate ...
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)
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 ...
Time evolution of external shocks on macroeconomic fluctuations in Pacific Alliance countries: empirical application using TVP-VAR-SV models
(Pontificia Universidad Católica del Perú, 2022-03)
This article provides empirical evidence on the evolution of the impact of external shocks on the
macroeconomic dynamics of the Pacific Alliance (PA) countries. For this purpose, we estimate
a family of VAR models that ...
Presidential Approval in Peru: An Empirical Analysis Using a Fractionally Cointegrated VAR
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2019-12)
Presidential approval in Peru depends on economic outcomes. However, voters are unable to distinguish between outcomes resulting from economic policies and those caused by exogenous shocks.
Estimation results from seven ...