| dc.creator | Rodríguez, Gabriel | |
| dc.creator | Chávez, Paulo | |
| dc.date | 2022-04-11T17:17:30Z | |
| dc.date | 2022-04-11T17:17:30Z | |
| dc.date | 2022-03 | |
| dc.date.accessioned | 2023-03-09T00:00:23Z | |
| dc.date.available | 2023-03-09T00:00:23Z | |
| dc.identifier | 2079-8474 | |
| dc.identifier | https://repositorio.pucp.edu.pe/index/handle/123456789/184423 | |
| dc.identifier | http://doi.org/10.18800/2079-8474.0509 | |
| dc.identifier.uri | https://repositorioslatinoamericanos.uchile.cl/handle/2250/5991461 | |
| dc.description | This 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. | |
| dc.format | application/pdf | |
| dc.language | eng | |
| dc.publisher | Pontificia Universidad Católica del Perú. Departamento de Economía | |
| dc.publisher | PE | |
| dc.rights | Atribución-NoComercial-SinDerivadas 2.5 Perú | |
| dc.rights | info:eu-repo/semantics/openAccess | |
| dc.rights | http://creativecommons.org/licenses/by-nc-nd/2.5/pe/ | |
| dc.subject | External Shocks | |
| dc.subject | Macroeconomic Fluctuations | |
| dc.subject | Regime-Switching Autoregressive Vectors | |
| dc.subject | Stochastic Volatility | |
| dc.subject | Model Comparison | |
| dc.subject | Peruvian Economy | |
| dc.subject | http://purl.org/pe-repo/ocde/ford#5.02.00 | |
| dc.title | Time changing effects of external shocks on macroeconomic fluctuations in Peru: empirical application using regime-switching VAR models with stochastic volatility | |
| dc.type | info:eu-repo/semantics/workingPaper | |
