Rodríguez, GabrielChávez, Paulo2022-04-112022-04-112022-03urn:issn:2079-8474https://repositorio.pucp.edu.pe/index/handle/123456789/184423This article quantifies and analyzes the evolving impact of external shocks on Peru’s macroeconomic fluctuations in 1994Q1-2019Q4. For this purpose, we use a group of models with regimeswitching time-varying parameters and stochastic volatility (RS-VAR-SV), as proposed by Chan and Eisenstat (2018). The data suggest a model with contemporaneous coefficients and constant lags and intercepts, but with regime-switching variances; and point to the existence of two regimes. The IRFs, FEVDs, and HDs show that: (i) China growth shocks have a higher impact on Peru’s output growth (around 0.8%); (ii) financial shocks contract domestic output growth by 0.3% and domestic monetary policy is synchronized with Fed rate movements; (iii) external shocks explain 35% and 70% of output fluctuations under regimes 1 and 2, respectively; and (iv) China growth shocks contributed 1.0 p.p. to the 1.1-p.p. increase (around 89%) in Peru’s output growth between regimes 1 and 2. Additionally, we validate these results by performing seven robustness exercises consisting in changing priors, reordering variables, changing variables, and using four different specications for the baseline model.enginfo:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by-nc-nd/2.5/pe/External ShocksMacroeconomic FluctuationsRegime-Switching Autoregressive VectorsStochastic VolatilityModel ComparisonPeruvian Economyinfo:eu-repo/semantics/workingPaperhttp://purl.org/pe-repo/ocde/ford#5.02.00http://doi.org/10.18800/2079-8474.0509