Browsing Departamentos by Author "Rodríguez, Gabriel"
Now showing items 41-44 of 44
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Time-varying effects of external shocks on macroeconomic fluctuations in Peru: an empirical application using TVP-VAR- SV models
Rodríguez, Gabriel; Ojeda A. Cunya, Junior (Pontificia Universidad Católica del Perú. Departamento de EconomíaPE, 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
Alvarado, Mauricio; Rodríguez, Gabriel (Pontificia Universidad Católica del Perú. Departamento de EconomíaPE, 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-Varying Impact of Fiscal Shocks over GDP Growth in Peru: An Empirical Application using Hybrid TVP-VAR-SV Models
Jiménez, Álvaro; Rodríguez, Gabriel (Pontificia Universidad Católica del Perú. Departamento de EconomíaPE, 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, ... -
Volatility of Stock Market and Exchange Rate Returns in Peru: Long Memory or Short Memory with Level Shifts?
Herrera, Andrés; Rodríguez, Gabriel (Pontificia Universidad Católica del Perú. Departamento de EconomíaPE, 2014)Aunque la literatura econométrica en esta área es extensa, en Perú pocos estudios se han dedicado al análisis de los retornos financieros en general y la volatilidad en particular. Como parte de un programa de investigación ...