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dc.contributor.authorAlvarado, Mauricio
dc.contributor.authorRodríguez, Gabriel
dc.date.accessioned2024-01-22T17:07:59Z
dc.date.available2024-01-22T17:07:59Z
dc.date.created2024
dc.date.issued2024-01
dc.identifier.issnurn:issn:2079-8474
dc.identifier.urihttps://repositorio.pucp.edu.pe/index/handle/123456789/196760
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.language.isoenges_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.rightsinfo:eu-repo/semantics/openAccesses_ES
dc.rights.urihttp://creativecommons.org/licenses/by-nd/2.5/pe/*
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.typeinfo:eu-repo/semantics/workingPaper
dc.type.otherDocumento de trabajo
dc.subject.ocdehttps://purl.org/pe-repo/ocde/ford#5.02.01es_ES
dc.publisher.countryPEes_ES
dc.identifier.doihttp://doi.org/10.18800/2079-8474.0531


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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