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Item type:Publication, Presidential approval in Peru: an empirical analysis using a fractionally cointegrated VAR(Springer, 2022-08-01)Presidential approval in Peru depends on economic outcomes. However, voters are unable to distinguish between outcomes resulting from economic policies and those caused by exogenous external factors. Estimation results from seven Fractional Cointegrated VAR (FCVAR) models suggest that presidential approval increases with the monetary policy interest rate, the terms of trade, and manufacturing employment; and decreases with the nominal PEN/USD exchange rate and inflation volatility. Additionally, a Principal Components Analysis (PCA) conducted over a large set of macroeconomic indicators points to a greater influence of external over domestic factors in explaining presidential approval; i.e., economic outcomes that determine the dynamics of presidential approval are not under presidential control in Peru. It can be argued that these findings identify a significant source of political instability and a considerable challenge to democratic governance. To the authors’ best knowledge, this is the first application of fractional cointegration analysis to political economy in Latin America. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Impact of monetary policy shocks in the Peruvian economy over time(Elsevier B.V., 2024-12-01)We investigate the evolution of the impact of monetary policy (MP) shocks in Peru in 1996Q1-2018Q2 using a set of time-varying parameter VAR models with stochastic volatility (TVP-VAR-SV), as proposed by Chan and Eisenstat (2018). The main results are: (i) the volatility of MP shocks falls during the Inflation Targeting (IT) regime; (ii) a contractionary MP shock decreases both GDP growth and inflation within a five quarters time span; (iii) the interest rate reacts faster to aggregate supply shocks than to both aggregate demand shocks and exchange rate shocks; (iv) under the pre-IT regime, MP shocks explain 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. In general, the results show that MP has contributed to diminishing macroeconomic volatility in Peru. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Time-varying transmission of external shocks in Peru: Reassessing the role of monetary policy(Elsevier BV, 2025-11-01)This paper analyzes how the transmission of external shocks to inflation, output, and interest rates in Peru has evolved over the past two decades. Although the literature has emphasized the relevance of terms-of-trade and global financial shocks for emerging markets, limited attention has been paid to how these transmission mechanisms change over time. Using quarterly data from 1998 to 2019, the analysis employs a time-varying parameter VAR model with stochastic volatility and mixture innovations to identify changes in three key blocks: autoregressive coefficients, shock variances, and contemporaneous responses. The results indicate a marked decline in the volatility of monetary policy shocks following the adoption of inflation targeting in 2002, along with a shift in inflation's sensitivity to external shocks—weakening in response to the international interest rate and strengthening in response to Chinese output growth. These patterns reflect improvements in monetary policy credibility and shifts in trade exposure. Robustness exercises confirm the stability of the main findings across alternative specifications.5 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Impacts and evolution of monetary policy shocks on macroeconomic fluctuations in Peru using regime-switching VAR models(Elsevier BV, 2026-08-01)This paper applies regime-switching VAR models with time-varying parameters and variances to analyze the impact and evolution of monetary policy shocks and their contribution to GDP growth, inflation, and the interest rate in Peru over 1994Q3–2019Q4. The approach offers an alternative and complementary perspective to Pérez Rojo and Rodrıguez (2024). The main findings are: (i) the best-fitting models incorporate regime-switching volatility; (ii) two distinct regimes emerge, coinciding with the adoption of inflation targeting (IT); (iii) the volatility of GDP growth and inflation began to decline in the early 1990s, while interest rate volatility fell sharply after IT implementation; and (iv) prior to IT, monetary policy shocks explained 15%, 30%, and 90% of the long-term forecast error variance decomposition of inflation, GDP growth, and the interest rate, respectively, but their contribution became negligible thereafter. Overall, the results are robust across alternative specifications, underscoring the stabilizing role of IT in Peru’s monetary policy framework.