Time changing effects of external shocks on macroeconomic fluctuations in Peru: empirical application using regime-switching VAR models with stochastic volatility

dc.contributor.authorRodríguez, Gabriel
dc.contributor.authorChávez, Paulo
dc.date.accessioned2022-04-11T17:17:30Z
dc.date.available2022-04-11T17:17:30Z
dc.date.issued2022-03
dc.description.abstractThis 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 (RS-VAR-SV), as proposed by Chan and Eisenstat (2018). The data suggest a model with contemporaneous coefficients and constant lags and intercepts, but with regime-switching variances; and point to the existence of two regimes. The IRFs, FEVDs, and HDs show that: (i) China growth shocks have a higher impact on Peru’s output growth (around 0.8%); (ii) financial shocks contract domestic output growth by 0.3% and domestic monetary policy is synchronized with Fed rate movements; (iii) external shocks explain 35% and 70% of output fluctuations under regimes 1 and 2, respectively; and (iv) China growth shocks contributed 1.0 p.p. to the 1.1-p.p. increase (around 89%) in Peru’s output growth between regimes 1 and 2. Additionally, we validate these results by performing seven robustness exercises consisting in changing priors, reordering variables, changing variables, and using four different specications for the baseline model.es_ES
dc.identifier.doihttp://doi.org/10.18800/2079-8474.0509
dc.identifier.issnurn:issn:2079-8474
dc.identifier.urihttps://repositorio.pucp.edu.pe/index/handle/123456789/184423
dc.language.isoenges_ES
dc.publisherPontificia Universidad Católica del Perú. Departamento de Economíaes_ES
dc.publisher.countryPE
dc.rightsinfo:eu-repo/semantics/openAccesses_ES
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/2.5/pe/*
dc.subjectExternal Shockses_ES
dc.subjectMacroeconomic Fluctuationses_ES
dc.subjectRegime-Switching Autoregressive Vectorses_ES
dc.subjectStochastic Volatilityes_ES
dc.subjectModel Comparisones_ES
dc.subjectPeruvian Economyes_ES
dc.subject.ocdehttp://purl.org/pe-repo/ocde/ford#5.02.00
dc.titleTime changing effects of external shocks on macroeconomic fluctuations in Peru: empirical application using regime-switching VAR models with stochastic volatilityes_ES
dc.typeinfo:eu-repo/semantics/workingPaper
dc.type.otherDocumento de trabajo

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