Time-Varying Effects of Financial Uncertainty Shocks on Macroeconomic Fluctuations in Peru
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2024-01
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Pontificia Universidad Católica del Perú. Departamento de Economía
Resumen
This 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.
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Macroeconomic Fluctuations, Financial Uncertainty Shocks, Autoregressive Vectors with Time-Varying Parameters, Stochastic Volatility, Bayesian Estimation and Comparison, Peruvian Economy
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Excepto se indique lo contrario, la licencia de este artículo se describe como info:eu-repo/semantics/openAccess