Time-Varying Effects of Financial Uncertainty Shocks on Macroeconomic Fluctuations in Peru
dc.contributor.author | Alvarado, Mauricio | |
dc.contributor.author | Rodríguez, Gabriel | |
dc.date.accessioned | 2024-01-22T17:07:59Z | |
dc.date.available | 2024-01-22T17:07:59Z | |
dc.date.created | 2024 | |
dc.date.issued | 2024-01 | |
dc.description.abstract | 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. | es_ES |
dc.identifier.doi | http://doi.org/10.18800/2079-8474.0531 | |
dc.identifier.issn | urn:issn:2079-8474 | |
dc.identifier.uri | https://repositorio.pucp.edu.pe/index/handle/123456789/196760 | |
dc.language.iso | eng | es_ES |
dc.publisher | Pontificia Universidad Católica del Perú. Departamento de Economía | es_ES |
dc.publisher.country | PE | es_ES |
dc.relation.ispartof | Documento de Trabajo | es_ES |
dc.relation.ispartofseries | Documento de Trabajo;531 | |
dc.rights | info:eu-repo/semantics/openAccess | es_ES |
dc.rights.uri | http://creativecommons.org/licenses/by-nd/2.5/pe/ | * |
dc.subject | Macroeconomic Fluctuations | es_ES |
dc.subject | Financial Uncertainty Shocks | 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 | https://purl.org/pe-repo/ocde/ford#5.02.01 | es_ES |
dc.title | Time-Varying Effects of Financial Uncertainty Shocks on Macroeconomic Fluctuations in Peru | es_ES |
dc.type | info:eu-repo/semantics/workingPaper | |
dc.type.other | Documento de trabajo |