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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)
This 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). ...
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 ...
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-Varying Effects of Financial Uncertainty Shocks on Macroeconomic Fluctuations in Peru
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2024-01)
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 ...