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Item type:Publication, Time changing effects of external shocks on macroeconomic fluctuations in Peru: empirical application using regime-switching VAR models with stochastic volatility(Springer Science+Business Media, 2022-08-24)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 regime-switching time-varying parameters and stochastic volatility (RS-VAR-SV), as proposed by Chan and Eisenstat (J Appl Econ 33(4):509–532, 2018. https://doi.org/10.1002/jae.2617). 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 specifications for the baseline model. - 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, Evolution of the exchange rate pass-through into prices in Peru: An empirical application using TVP-VAR-SV models(Elsevier Ltd, 2024-04-01)This study examines the evolution of exchange rate pass-through (ERPT) into import, producer, and consumer prices in Peru from 1995Q2 to 2022Q4 using time-varying parameter and stochastic volatility VAR models. Findings reveal a resurgence of ERPTs into import and producer prices since 2009, particularly during the period of a strong US dollar following the 2013 taper tantrum and from 2020 to 2022. Increased uncertainty surrounding the exchange rate and future macroeconomic policies, triggered by the political uncertainty following the 2021 general elections, may have contributed to this trend. Short-term ERPT exceeds long-term ERPT, which might reflect prevalent price dollarization in Peru's import and producer prices. Consumer ERPT remained stable at around 10% until 2009, then increased to 15%, indicating lower levels of price dollarization. This paper sheds light on ERPT dynamics in Peru, carrying implications for policymakers in emerging economies. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Time-Varying Effects of External Shocks on Macroeconomic Fluctuations in Peru: An Empirical Application Using TVP-VAR-SV Models(Springer Science+Business Media, 2023-11-24)This study uses a family of VAR models with time-varying parameters and stochastic volatility (TVP-VAR-SV) to analyze the impact of external shocks on output growth and inflation in Peru in 1992Q1-2017Q1. The statistical relevance of the models is assess... - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Effects of External Shocks on Macroeconomic Fluctuations in Pacific Alliance Countries(Elsevier B.V., 2023-07-01)Given Pacific Alliance (PA) countries’ dependence on the external sector amidst volatile global financial conditions and increased trade openness, it is important to understand the time-varying impact of external shocks on these economies to assess their resilience. We use data for 1994Q1-2019Q4 and VAR models with time-varying parameters and stochastic volatility to study the heterogeneity of responses to financial, real, and nominal external shocks. The results suggest that external shocks have played a significant role in domestic cycles (50% on average), but their impact became temporarily larger during the global low-interest-rate period; i.e., the impact of export price and Fed rate shocks on GDP increased the most, peaking in 2002–2011, whereas the effect of shocks originating in China, although the largest, remained stable. In addition, a more predictable and countercyclical monetary policy in response to commodity price shocks diminished the transmission of external shocks, thereby increasing PA economies’ external resilience. - 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, Time-varying effects of financial uncertainty shocks on macroeconomic fluctuations in Peru(Elsevier BV, 2025-03-01)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 by unfavorable financial conditions.3 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Evolving impacts of fiscal policy on macroeconomic fluctuations in Peru(Elsevier BV, 2025-03-01)This study assesses the evolving impact of fiscal policy on Peru's economic activity in 1995Q1-2018Q2 using unrestricted and restricted TVP-VAR-SV models as proposed by Chan and Eisenstat (2018a). The results highlight the necessity of including stochastic volatility, although there is no clear evidence for time-varying parameters. Shocks from government consumption growth and public investment growth significantly influence the forecast error variance decomposition and the historical decomposition of GDP growth. Conversely, the impact of tax revenue shocks remains weak throughout the study period. The public investment multiplier exceeds that of government consumption although both are less than 1, suggesting a limited capacity of fiscal policy to stimulate economic activity. The study also finds that external shocks (export price index growth) have a strong and positive impact on tax revenue growth. A series of robustness exercises further confirms these results.2