External Shocks and Economic Fluctuations in Peru: Empirical Evidence using Mixture Innovation TVP-VAR-SV Models
dc.contributor.author | Guevara, Brenda | |
dc.contributor.author | Rodriguez, Gabriel | |
dc.contributor.author | Yamuca Salvatierra, Lorena | |
dc.date.accessioned | 2024-01-16T19:18:55Z | |
dc.date.available | 2024-01-16T19:18:55Z | |
dc.date.created | 2024 | |
dc.date.issued | 2024-01 | |
dc.description.abstract | We employ a family of mixture innovation, time-varying parameter VAR models with stochastic volatility (TVP-VAR-SV) to analyze the impact of external shocks on Peru’s GDP growth, inflation, and interest rate from 1998Q1 to 2019Q4. Our key findings are as follows: (i) the model best fitting the data features time-varying parameters and variances with a certain likelihood; (ii) impulse-response functions reveal that a 1% increase in the growth rate of Peru’s major trading partners (China and the U.S.) leads to a domestic GDP growth expansion of 0.65% and 0.21%, respectively; (iii) the forecast error variance decomposition shows that external shocks account for 65% of the long-term variability in output, 65% in inflation, and 67% in the interest rate; (iv) historical decomposition indicates that external shocks account for 50% of domestic GDP growth, particularly from 2002 onward. Lastly, we validate the results obtained in the primary specification through four robustness exercises | es_ES |
dc.identifier.doi | http://doi.org/10.18800/2079-8474.0529 | |
dc.identifier.issn | urn:issn:2079-8474 | |
dc.identifier.uri | https://repositorio.pucp.edu.pe/index/handle/123456789/196625 | |
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;529 | |
dc.rights | info:eu-repo/semantics/openAccess | es_ES |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/2.5/pe/ | * |
dc.subject | External Shocks | es_ES |
dc.subject | Macroeconomic Fluctuations | es_ES |
dc.subject | Time-Varying Parameter Vector Autoregressive Models | es_ES |
dc.subject | Stochastic Volatility | es_ES |
dc.subject | Mixture in Innovations | es_ES |
dc.subject | Peru | es_ES |
dc.subject.ocde | https://purl.org/pe-repo/ocde/ford#5.02.01 | es_ES |
dc.title | External Shocks and Economic Fluctuations in Peru: Empirical Evidence using Mixture Innovation TVP-VAR-SV Models | es_ES |
dc.type | info:eu-repo/semantics/workingPaper | |
dc.type.other | Documento de trabajo |