Facultad de Ciencias Sociales

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search.filters.applied.f.advisor: search.filters.advisor.Rodríguez Briones, Gabriel HenderSubject: search.filters.subject.http://purl.org/pe-repo/ocde/ford#5.02.01

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    Modeling the volatility of returns on commodities: an application and empirical comparison of GARCH and SV models
    (Pontificia Universidad Católica del Perú, 2021-03-10) Fernández Prada Saucedo, Jean Pierre; Rodríguez Briones, Gabriel Hender
    Seven GARCH and stochastic volatility (SV) models are compared to model empirically the volatility of returns on four commodities relevant for South America economies: gold, copper, oil, and natural gas. Our results show that SV models outperform GARCH models on average. We find that the best-performing return volatility models are: GARCH-t for gold, SV-t for copper and oil, and SV with leverage effects (SV-L) for natural gas. The inclusion of fat tails and jumps components largely raise the performance of GARCH models, while this contribution is less for SV models. Even, SV models with jumps are usually outperformed by the basic SV model. We also find evidence of a leverage effect in oil and copper, resulting from their dependence on world economic activity; and of an inverse leverage effect in gold and natural gas, consistent with the former's role as safe asset and with uncertainty about the latter's future supply. Additionally, in most cases there is no evidence of an impact of volatility on the mean or MA-type first order autocorrelation.
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    Evolution of the monetary policy in Peru: an empirical application using a mixture innovation TVP-VAR-SV Model
    (Pontificia Universidad Católica del Perú, 2021-01-28) Portilla Goicochea, Jhonatan Josue; Rodríguez Briones, Gabriel Hender
    This paper investigates the evolution of the monetary policy in Peru between 1996Q1 and 2016Q4 using a mixture innovation time-varying parameter vector autoregressive model with stochastic volatility (TVP-VAR-SV)model proposed by Koopetal.(2009).The main empirical results are:(i)VARcoe¢cients and volatilities change more gradually than covariance errors overtime;(ii)the volatility of monetary policy shocks is higher during pre-In ation Targeting (IT) regime;(iii)a surprise increase in the interest rate produces GDP growth falls and reduces in ation in the longrun;(iv)the interest rate reacts more quickly against aggregate supply shocks than aggregate demand shocks;(v)monetary policy shocks explain a high percentage of domestic variables during pre-IT regime and then,their contribution decrease during IT-regime.