Rodríguez, GabrielOjeda A. Cunya, Junior2022-04-112022-04-112022-03https://repositorio.pucp.edu.pe/index/handle/123456789/184420This study uses a family of VAR models with time-varying coefficients and stochastic volatility (TVP-VAR-SV) to analyze the impact of external shocks on output growth and inflation in Peru in 1992Q1-2017Q1. The statistical relevance of the models is assessed using the deviance information criterion (DIC) and the marginal log-likelihood calculated using the cross-entropy (CE) method. The results show that: (i) it is more relevant to introduce SV than TVP; i.e., the best fitting model admits only varying intercepts and SV; and TVP-VAR and CVAR are the least performing models; (ii) the models impulse response functions indicate that the impacts from external shocks are different under high inflation, economic crisis, and monetary policy change, with a greater impact in episodes of high uncertainty; (iii) the impact and importance of external shocks has increased over time; and (iv) the results are robust to changes in the priors, the lag structure, order of the variables, the external variable, and the variable for domestic economic activity.enginfo:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by-nc-nd/2.5/pe/MacroeconomicExternal ShocksFluctuationsAutoregressive Vectors with Time- Varying ParametersStochastic VolatilityBayesian Estimation and ComparisonPeruvian Economyinfo:eu-repo/semantics/otherhttp://purl.org/pe-repo/ocde/ford#5.02.00http://doi.org/10.18800/2079-8474.0507