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Item type:Publication, Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models(Elsevier, 2020-04-01)Using weekly data for stock and Forex market returns, a set of MS-GARCH models is estimated for a group of high-income (HI) countries and emerging market economies (EMEs) using algorithms proposed by Augustyniak (2014) and Ardia et al. (2018, 2019a,b), allowing for a variety of conditional variance and distribution specifications. The main results are: (i) the models selected using Ardia et al. (2018) have a better fit than those estimated by Augustyniak (2014), contain skewed distributions, and often require that the main coefficients be different in each regime; (ii) in Latam Forex markets, estimates of the heavy-tail parameter are smaller than in HI Forex and all stock markets; (iii) the persistence of the high-volatility regime is considerable and more evident in stock markets (especially in Latam EMEs); (iv) in (HI and Latam) stock markets, a single-regime GJR model (leverage effects) with skewed distributions is selected; but when using MS models, virtually no MS-GJR models are selected. However, this does not happen in Forex markets, where leverage effects are not found either in single-regime or MS-GARCH models. - 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 Impact of Fiscal Shocks over GDP Growth in Peru: An Empirical Application Using Hybrid TVP-VAR-SV Models(Elsevier B.V., 2023-03-01)This paper estimates hybrid TVP-VAR-SV models suggested by Chan and Eisenstat (2018a) to identify and quantify the impact of fiscal shocks on GDP growth in Peru between 1995Q1–2018Q2. According to Bayesian criteria, the best models exhibit time-varying dynamics, but not necessarily in all parameters. Considering this result, our findings suggest that: (i) fiscal shocks are significant in the whole sample according to impulse response functions, forecast error variance decomposition and historical decomposition of GDP growth; (ii) tax revenue shocks are the least important and their impact is model dependent; (iii) expenditure shocks are relevant drivers of GDP growth; and (iv) expenditure multipliers, mainly for capital spending, have been growing over the last 20 years. We recommend constant revision of estimated fiscal multipliers and suggest that, in following years, fiscal policy in Peru should be mostly driven by capital expenditure.