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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 ...
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 ...
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 ...