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Item type:Publication, Impacto de expectativas políticas en los retornos del índice general de la Bolsa de Valores de Lima(Pontificia Universidad Católica del Perú. Departamento de Economía, 2011)This paper analyzes the impact of the politic expectations on the returns of the stock market of Peru using monthly information for the election periods of 1995 and 2000. The principal variable is a measure of the probability that a candidate wins the elections. Therefore, the hypothesis to be veri.es is if the degree of uncertainty about the results of the elections affects the returns of the stock market of Peru. We use other alternative variables as the exchange rate, inflation, terms of trade. The results show that for the first period of the analysis (1995), the probability that the candidate Fujimori wins the elections affected positively the returns of the stock market. On the other hand, for the period of 2000, the sign of the above mentioned variable changes implying a political wear of the candidate Fujimori. Furthermore, the evidence of corruption found in these moments contributed to explain the importance of this result. The results also show the importance of other macroeconomic variables in the estimations. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Driving Economic Fluctuations in Peru: The Role of the Terms of Trade(Pontificia Universidad Católica del Perú. Departamento de Economía, 2014)This paper has four objectives. Firstly, to verify the existence of long-term relationships between the groups of variables analyzed (product, consumption, private investment, public investment, and terms of trade). Secondly, to analyze the role of public and private investment, as well as the role of the terms of trade in the Peruvian economy s economic uctuations. Thirdly, to identify domestic and foreign shocks, as well as the degree of importance of both in the economy s uctuations. Finally, to identify the role and the impact of permanent and transitory shocks in the economic p uctuations of an emerging economy such as Peru. To achieve these objectives, we follow the focuses of King et al. (1991), Mellander et al. (1992), and Warne (1993); additionally, the analysis disaggregates the total public and private investment. The primary result is that the permanent shocks of the terms of trade (foreign shocks) account for most of the uctuations in product, consumption, private investment, and public investment. This result appears more pronounced as the time horizon approaches the long-term. The transitory shocks, for their part, explain the uctuations of some variables only in the short term. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Explaining the Transition Probabilities in the Peruvian Labor Market(Pontificia Universidad Católica del Perú. Departamento de Economía, 2012)This study has two aims. First, to establish the main features of labor mobility; and second, to analyze the determinants of the main transitions between states of occupation. In order to achieve the first objective, we utilize transition matrices, on the basis of which different indicators are calculated that allow the characterization of the dynamics of labor markets in Peru. These calculations, in addition to the results of previous works, enable us to establish a number of stylized facts about labor mobility. Regarding the second objective, and having identified the loss of occupation as one of the most important transitions, an analysis of logit regression is performed in order to establish the correlation between supply and demand factors and the probability of staying occupied or losing that status. Panel samples of household surveys on a national scale for the period 2007-2010 are employed. The results indicate that there is an important degree of mobility where important proportions of the population switch between states, but in aggregate these transitions tend to cancel out. With respect to the determinants of the transition, the important role of labor demand has been identified; it was captured with levels in employment and their changes in time. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, An Application of a Short Memory Model With Random Level Shifts to the Volatility of Latin American Stock Market Returns(Pontificia Universidad Católica del Perú. Departamento de Economía, 2014)Empirical research indicates that the volatility of stock return time series have long memory. However, it has been demonstrated that short memory processes contaminated with random level shifts can often be confused as being long memory. Often this feature is referred to as spurious long memory. This paper represents an empirical study of the random level shift (RLS) model using the approach of Lu and Perron (2010) and Li and Perron (2013) for the volatility of daily stocks returns data for five Latin American countries. The RLS model consists of the sum of a short term memory component and a level shift component, where the level shift component is governed by a Bernoulli process with a shift probability α. The estimation results suggest that the level shifts in the volatility of daily stocks returns data are infrequent but once they are taken into account, the long memory characteristic and the GARCH effects disappear. An out-of-sample forecasting exercise is also provided. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, A Note about Detection of Additive Outliers with Fractional Errors(Pontificia Universidad Católica del Perú. Departamento de Economía, 2013)Perron and Rodríguez (2003) claimed that their procedure to detect for additive outliers (_ d) is powerful even when we have departures from the unit root case. In this note, we use Monte-Carlo simulations to show that Td is powerful when we have ARFIMA (p; d; q) errors. Using simulations, we calculate the expected number of additive outliers found in this context and the number of times that the approach Td identifies the true location of the additive outliers. The results indicate that the power of the procedure Td depends of the size of the additive outliers. When we have a DGP with big sized additive outliers the percentage of time that Td detects correctly the location of the additive outliers is 100.0%. A comparison between Td and the procedure TRAMO-SEATS is also included. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, A Note on the Size of the ADF Test with Additive Outliers and Fractional Errors. A Reapraisal about the (non) stationarity of the Latin-American Inflation Series(Pontificia Universidad Católica del Perú. Departamento de Economía, 2013)This note analyzes the empirical size of the augmented Dickey and Fuller (ADF) statistic proposed by Perron and Rodríguez (2003) when the errors are fractional. This ADF is based on a searching procedure for additive outliers based on first-differences of the data named tau(d). Simulations show that empirical size of the ADF is not affected by fractional errors confirming the claim of Perron and Rodríguez (2003) that the procedure tau(d) is robust to departures of the unit root framework. In particular the results show low sensitivity of the size of the ADF statistic respect to the fractional parameter (d). However, as expected, when there is strong negative moving average autocorrelation or negative autoregressive autocorrelation, the ADF statistic is oversized. These difficulties are fixed when sample increases (from T = 100 to T = 200). Empirical application to eight quarterly Latin-American inflation series is also provided showing the importance of taking into account dummy variables for the detected additive outliers. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Modelamiento de la volatilidad de las bolsas de valores de América Latina: Probabilidades variables y reversión promedio en un modelo de cambios de nivel randomizado.(Pontificia Universidad Católica del Perú. Departamento de Economía, 2015)Following Xu and Perron (2014), we applied the extended RLS model to the daily stock market returns of Argentina, Brazil, Chile, Mexico and Peru. This model replaces the constant probability of level shifts for the entire sample with varying probabilities that record periods with extremely negative returns; and furthermore, it incorporates a mean reversion mechanism with which the magnitude and the sign of the level shift component will vary in accordance with past level shifts that deviate from the long-term mean. Therefore, four RLS models are estimated: the basic RLS, the RLS with varying probabilities, the RLS with mean reversion, and a combined RLS model with mean reversion and varying probabilities. The results show that the estimated parameters are highly signi cant, especially that of the mean reversion model. An analysis is also performed of ARFIMA and GARCH models in the presence of level shifts, which shows that once these shifts are taken into account in the modeling, the long memory characteristics and GARCH e¤ects disappear. Our forecasting analysis con firms that the RLS models are more accurate than other classic long-memory models. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, A Comparative Note about Estimation of the Fractional Parameter under Additive Outliers(Pontificia Universidad Católica del Perú. Departamento de Economía, 2014)In a recent paper, Fajardo et al. (2009) propose an alternative semiparametric estimator of the fractional parameter in ARFIMA models which is robust to the presence of additive outliers. The results are very interesting; however, they use samples of 300 or 800 observations which are rarely found in macroeconomics or economics. In order to perform a comparison, I use the procedure to detect for additive outliers based on the estimator Td suggested by Perron and Rodríguez (2003). Further, I use dummy variables associated to the location of the selected outliers to estimate the fractional parameter. I found better results for the mean and bias of this parameter when T = 100 and the results in terms of the standard deviation and the MSE are very similar. However, for higher sample sizes as 300 or 800, the robust procedure performs better, specially based on the standard deviation and MSE measures. Empirical applications for seven Latin American inflation series with very small sample sizes contaminated by additive outliers are discussed. What we find is that when no correction for additive outliers is performed, the fractional parameter is underestimated. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Do labor reforms in Spain have an effecto on the equilibrium unemployment rate?(Pontificia Universidad Católica del Perú. Departamento de Economía, 2013)In this paper, we analyze the impact of several labor reforms in Spain on its equilibrium unemployment rate. To this end, we analyzed the behavior of the observed unemployment rate in Spain during the 1976-2012 period, thereby assessing whether that rate is better characterized as a hysteresis process or, on the contrary, as a stationary process with fluctuations around an equilibrium unemployment rate (NAIRU). In order to achieve this aim, we employed unit root contrasts with structural change. Similarly, in order to calculate the equilibrium unemployment rate, we applied the methodology of multiple structural changes proposed by Bai and Perron (1998, 2003a). This method allows the estimation of breaking dates and the values of unemployment rates for each of the selected regimes. Lastly, we compare the direction in the changes of the equilibrium unemployment rate, as well as the dates of those breaking points, with the dates in which different labor reforms were enacted in Spain. This will allow us to determine whether those reforms had any effect on the Spanish labor market. The obtained results suggest that only the reforms of 1980, 1997 and 2006 had some nfluence on the equilibrium. unemployment rate level in combination with changes in inflation and sectorial employment structure. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Residual Based Test for Cointegration with GLS Detrented Data(Pontificia Universidad Católica del Perú. Departamento de Economía, 2012)We analyze di¤erent residual-based tests for the null of no cointegration using GLS detrended data. We find and simulate the limiting distributions of these statistics when GLS demeaned and GLS detrended data are used. The distributions depend of the number of right-hand side variables, the type of deterministic components used in the cointegration equation, and a nuisance parameter R2 which measures the long-run correlation between xt and yt. We present an extensive number of Figures which show the asymptotic power functions of the different statistics analyzed in this paper. The results show that GLS allows obtaining more asymptotic power in comparison with OLS detrending. The more simple residual-based tests (as the ADF) shows power gains for small values of R2 and for only one right-hand side variable. This evidence is valid for R2 less than 0.4. Figures show that when R2 is larger, the ECR statistics are better for any value of the right-hand side variables. In particular, evidence shows that the ECR statistic which assumes a known cointegration vector is the most powerful. A set of simulated asymptotic critical values are also presented. Unlike other references, in the present framework we use different c for different number of right-hand side variables (xt variables) and according to the set of deterministic components. In this selection, we use a R2 = 0:4, which appears to be a sensible choice.
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