Economía (Lic.)

Permanent URI for this collectionhttps://hdl.handle.net/20.500.12404/1026

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search.filters.applied.f.advisor: search.filters.advisor.Rodríguez Briones, Gabriel HenderStart date: 2024

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    Time-varying effects of financial uncertainty shocks on macroeconomic fluctuations in Peru
    (Pontificia Universidad Católica del Perú, 2025-01-13) Alvarado Tafur, Mauricio Andreé; Rodríguez Briones, Gabriel Hender
    This 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 byunfavorable financial conditions.
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    Impact of Monetary Policy Shocks in the Peruvian Economy Over Time
    (Pontificia Universidad Católica del Perú, 2024-11-21) Perez Rojo, Flavio Fernando; Rodríguez Briones, Gabriel Hender
    We investigate the evolution of the impact of monetary policy (MP) shocks in Peru in 1996Q1-2018Q2 using a set of time-varying parameter vector autoregressive models with stochastic volatility (TVP-VAR-SV), as proposed by Chan and Eisenstat (2018). The main results are: (i) the volatilities, intercepts, and contemporaneous coefficients change more gradually than VAR coefficients over time; (ii) the volatility of MP shocks falls from 4% to 0.3% on average during the Inflation Targeting (IT) regime; (iii) in the long run, a contractionary MP shock decreases both gross domestic product (GDP) growth and inflation by 0.28% and 0.1%, respectively; (iv) the interest rate reacts faster to aggregate supply shocks than to both aggregate demand shocks and exchange rate shocks; (v) under the pre-IT regime, MP shocks explain almost 20%, 10%, and 85% of the uncertainty in GDP growth, inflation, and the interest rate, respectively; and under the IT regime, all these percentages shrink to 1-2%. The sensitivity analysis confirms the robustness of the main results across various prior specifications, measures of external and domestic variables, and recursive identifications. In general, the results show that MP has contributed to diminishing macroeconomic volatility in Peru.