Choques fiscales y actividad económica en el Perú: Un enfoque mediante modelos Regime Switching VAR-SV
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2021-07-27
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Pontificia Universidad Católica del Perú
Abstract
Este documento analiza el efecto de la política fiscal sobre la actividad
económica. Se realizan las pruebas estadísticas del t-test, el estadístico de traza
y la prueba de Kolmogorov-Smirnov, las cuales sugieren incluir parámetros
cambiantes y volatilidad estocástica en el modelo econométrico. Las principales
ganancias de la comparación de modelos vienen por el lado de permitir
únicamente cambios en la volatilidad. Los resultados indican que las variables
de gasto han adquirido mayor potencia para dinamizar la economía en los
últimos 20 años, siendo el gasto de capital el instrumento más efectivo.
Asimismo, se encuentra que las variables fiscales poseen una participación
importante en la incertidumbre del producto, en especial el gasto de capital.
Finalmente, las variables fiscales son la mayor fuente de mitigación del choque
externo durante la crisis internacional del 2008-2009.
This document analyzes the effect of fiscal policy on economic activity. Statistical tests of the t test, the trace statistic and the Kolmogorov-Smirnov test are performed, which suggest including changing parameters and stochastic volatility in the econometric model. The main gains from the model comparison come from the side of allowing only changes in volatility. The results indicate that the spending variables have acquired greater power to boost the economy in the last 20 years, with capital spending being the most effective instrument. Likewise, it is found that the fiscal variables have an important participation in the uncertainty of the product, especially capital expenditure. Finally, fiscal variables are the greatest source of mitigation of external shock during the 2008-2009 international crisis.
This document analyzes the effect of fiscal policy on economic activity. Statistical tests of the t test, the trace statistic and the Kolmogorov-Smirnov test are performed, which suggest including changing parameters and stochastic volatility in the econometric model. The main gains from the model comparison come from the side of allowing only changes in volatility. The results indicate that the spending variables have acquired greater power to boost the economy in the last 20 years, with capital spending being the most effective instrument. Likewise, it is found that the fiscal variables have an important participation in the uncertainty of the product, especially capital expenditure. Finally, fiscal variables are the greatest source of mitigation of external shock during the 2008-2009 international crisis.
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Keywords
Política fiscal--Perú--Modelos econométricos, Gastos públicos--Perú, Perú--Condiciones económicas
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