Time-varying effects of external shocks on macroeconomic fluctuations in Peru: an empirical application using TVP-VAR- SV models
dc.contributor.author | Rodríguez, Gabriel | |
dc.contributor.author | Ojeda A. Cunya, Junior | |
dc.date.accessioned | 2022-04-11T14:19:53Z | |
dc.date.available | 2022-04-11T14:19:53Z | |
dc.date.issued | 2022-03 | |
dc.description.abstract | 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 relevance of the models is assessed using the deviance information criterion (DIC) and the marginal log-likelihood calculated using the cross-entropy (CE) method. The results show that: (i) it is more relevant to introduce SV than TVP; i.e., the best fitting model admits only varying intercepts and SV; and TVP-VAR and CVAR are the least performing models; (ii) the models impulse response functions indicate that the impacts from external shocks are different under high inflation, economic crisis, and monetary policy change, with a greater impact in episodes of high uncertainty; (iii) the impact and importance of external shocks has increased over time; and (iv) the results are robust to changes in the priors, the lag structure, order of the variables, the external variable, and the variable for domestic economic activity. | es_ES |
dc.identifier.doi | http://doi.org/10.18800/2079-8474.0507 | |
dc.identifier.uri | https://repositorio.pucp.edu.pe/index/handle/123456789/184420 | |
dc.language.iso | eng | es_ES |
dc.publisher | Pontificia Universidad Católica del Perú. Departamento de Economía | es_ES |
dc.publisher.country | PE | |
dc.rights | info:eu-repo/semantics/openAccess | es_ES |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/2.5/pe/ | * |
dc.subject | Macroeconomic | es_ES |
dc.subject | External Shocks | es_ES |
dc.subject | Fluctuations | es_ES |
dc.subject | Autoregressive Vectors with Time- Varying Parameters | es_ES |
dc.subject | Stochastic Volatility | es_ES |
dc.subject | Bayesian Estimation and Comparison | es_ES |
dc.subject | Peruvian Economy | es_ES |
dc.subject.ocde | http://purl.org/pe-repo/ocde/ford#5.02.00 | |
dc.title | Time-varying effects of external shocks on macroeconomic fluctuations in Peru: an empirical application using TVP-VAR- SV models | es_ES |
dc.type | info:eu-repo/semantics/other | |
dc.type.other | Otros |