Alvarado, MauricioRodríguez, Gabriel2024-01-222024-01-2220242024-01urn:issn:2079-8474https://repositorio.pucp.edu.pe/index/handle/123456789/196760This 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.enginfo:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by-nd/2.5/pe/Macroeconomic FluctuationsFinancial Uncertainty ShocksAutoregressive Vectors with Time-Varying ParametersStochastic VolatilityBayesian Estimation and ComparisonPeruvian Economyinfo:eu-repo/semantics/workingPaperhttps://purl.org/pe-repo/ocde/ford#5.02.01http://doi.org/10.18800/2079-8474.0531