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dc.contributor.authorAlvarado, Mauricio
dc.contributor.authorRodríguez, Gabriel
dc.description.abstractThis 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 for the period from 1996Q1 to 2022Q4. The main findings can be summarized as follows: (i) a simple VAR model with stochastic volatility is sufficient to capture uncertainty dynamics compared to TVP-VAR alternatives; (ii) uncertainty shocks have a negative and significant impact on private investment growth in the medium and long term; (iii) the impact on private investment growth is three times greater than that on GDP growth; (iv) uncertainty shocks behave like aggregate supply shocks, leading to an increase in the inflation rate; and (v) uncertainty shocks have stronger effects in scenarios characterized by unfavorable financial conditions.es_ES
dc.publisherPontificia Universidad Católica del Perú. Departamento de Economíaes_ES
dc.relation.ispartofDocumento de Trabajoes_ES
dc.relation.ispartofseriesDocumento de Trabajo;531
dc.rightsAtribución-SinDerivadas 2.5 Perú*
dc.subjectMacroeconomic Fluctuationses_ES
dc.subjectFinancial Uncertainty Shockses_ES
dc.subjectAutoregressive Vectors with Time-Varying Parameterses_ES
dc.subjectStochastic Volatilityes_ES
dc.subjectBayesian Estimation and Comparisones_ES
dc.subjectPeruvian Economyes_ES
dc.titleTime-Varying Effects of Financial Uncertainty Shocks on Macroeconomic Fluctuations in Perues_ES
dc.type.otherDocumento de trabajo

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Atribución-SinDerivadas 2.5 Perú
Except where otherwise noted, this item's license is described as Atribución-SinDerivadas 2.5 Perú