Evolution over time of the effects of fiscal shocks in the peruvian economy: empirical application using TVP-VAR-SV models
dc.contributor.author | Meléndez Holguín, Alexander | |
dc.contributor.author | Rodríguez, Gabriel | |
dc.date.accessioned | 2023-01-23T15:50:27Z | |
dc.date.available | 2023-01-23T15:50:27Z | |
dc.date.issued | 2023-01 | |
dc.description.abstract | This study assesses the evolving impact of fiscal policy on Peru’s economic activity in 1993Q4-2018Q2 using unrestricted and restricted TVP-VAR-SV models according to the approach proposed by Chan and Eisenstat (2018a). The results indicate that SV inclusion is essential, although there is no clear evidence of time-varying parameters according to two Bayesian selection criteria. Shocks from current and capital spending growth have positive effects on GDP growth (0.2% and 0.3%, respectively, in response to a 1% increase in each variable); and play important roles in the forecast error variance decomposition (23% and 45%, respectively) and historical decompositon (14% and 25%, respectively). The impact of fiscal income shocks is weak throughout the period of the study. The current and capital spending multipliers grow in 1995Q1-2007Q4, but subsequently show lower values in 2008Q1-2018Q2. The study also finds that external shocks have a strong and positive impact on fiscal income growth (0.4%). Finally, the research includes multiple robustness exercises, which show few changes relative to the results obtained using the baseline model. | es_ES |
dc.identifier.doi | http://doi.org/10.18800/2079-8474.0516 | |
dc.identifier.issn | urn:issn:2079-8474 | |
dc.identifier.uri | https://repositorio.pucp.edu.pe/index/handle/123456789/188602 | |
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.ispartofseries | Documento de Trabajo;516 | es_ES |
dc.rights | info:eu-repo/semantics/openAccess | es_ES |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/2.5/pe/ | * |
dc.subject | Fiscal Policy | es_ES |
dc.subject | Fiscal Multiplier | es_ES |
dc.subject | VAR Model with Time-Varying Parameters | es_ES |
dc.subject | Stochastic Volatility | es_ES |
dc.subject | Bayesian Estimation | 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 | Evolution over time of the effects of fiscal shocks in the peruvian economy: empirical application using TVP-VAR-SV models | es_ES |
dc.type | info:eu-repo/semantics/workingPaper | |
dc.type.other | Documento de trabajo |