Regime-Switching, Stochastic Volatility, Fiscal Policy Shocks and Macroeconomic Fluctuations in Peru

dc.contributor.authorRodríguez, Gabriel
dc.contributor.authorSantisteban, Joseph
dc.date.accessioned2024-10-07T16:59:28Z
dc.date.available2024-10-07T16:59:28Z
dc.date.issued2024-10
dc.description.abstractFollowing Chan and Eisenstat (2018a), we use a family of regime-switching models with time-varying parameters and stochastic volatility (RS-VAR-SV) to analyze the evolution of fiscal shocks impacts on Peru's economic growth from 1995Q1 to 2019Q4. Key findings include: (i) identification of two distinct economic regimes with different macroeconomic fundamentals tied to improvements in fiscal and monetary policy; (ii) enhanced model fi with the inclusion of stochastic volatility; (iii) a positive trend in the size of spending multipliers, though they remain below unity; (iv) during the 2008 Global Financial Crisis, capital expenditure shocks mitigated the decline in economic growth by 2 percentage points, highlighting their counter-cyclical potential. These findings are corroborated by robustness checks, which include changes in priors, variable reordering, adjustments in external and demand variables, and extending the sample to 2022Q4 to encompass the COVID-19 crisis.es_ES
dc.identifier.doihttp://doi.org/10.18800/2079-8474.0539
dc.identifier.issnurn:issn:2079-8474
dc.identifier.urihttps://repositorio.pucp.edu.pe/index/handle/123456789/202084
dc.language.isoenges_ES
dc.publisherPontificia Universidad Católica del Perú. Departamento de Economíaes_ES
dc.publisher.countryPEes_ES
dc.relation.ispartofseriesDocumento de Trabajo; 539
dc.rightsinfo:eu-repo/semantics/openAccesses_ES
dc.rightsAtribución-NoComercial-SinDerivadas 2.5 Perú*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/2.5/pe/*
dc.subjectRegime-Switching Modelses_ES
dc.subjectFiscal Multiplierses_ES
dc.subjectMarginal Likelihoodes_ES
dc.subjectCross-Entropyes_ES
dc.subjectBayesian Model Comparisones_ES
dc.subjectPeruvian Economyes_ES
dc.subjectStochastic Volatilityes_ES
dc.subject.ocdehttps://purl.org/pe-repo/ocde/ford#5.02.01es_ES
dc.titleRegime-Switching, Stochastic Volatility, Fiscal Policy Shocks and Macroeconomic Fluctuations in Perues_ES
dc.typeinfo:eu-repo/semantics/workingPaperes_ES

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