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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 ...
Approximate bayesian estimation of stochastic volatility in mean models using hidden Markov models: empirical evidence from stock Latin American markets
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2021-10)
The stochastic volatility in mean (SVM) model proposed by Koopman and Uspensky (2002) is revisited. This paper has two goals. The first is to offer a methodology that requires less computational time in simulations and ...
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 ...
Modeling the trend, persistence, and volatility of inflation in Pacific Alliance countries: an empirical application using a model with inflation bands
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2024-02)
This paper estimates and analyzes the dynamics of trend inflation, as well as the persistence and
volatility of the inflation gap in the Pacific Alliance countries (Chile, Colombia, Mexico, and Peru). For this purpose, ...
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 ...
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 ...
Does the Central Bank of Peru respond to exchange rate movements? a bayesian estimation of a new keynesian DSGE model with FX interventions
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2021-12)
This paper assess the role played by the exchange rate and FX intervention in setting monetary
policy interest rates in Peru. We estimate a Taylor rule that includes inflation, output gap and
the exchange rate using a ...
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 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 ...
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. ...