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Item type:Publication, The role of credit supply shocks in pacific alliance countries: A TVP-VAR-SV approach(Elsevier, 2020-04-01)This paper analyzes the effect of loan supply shocks on the real economic activity of Pacific Alliance countries using a Time-Varying Parameter VAR with Stochastic Volatility (TVP-VAR-SV) model which is identified by sign restrictions. Two main results arise from the analysis. First, loan supply shocks have an important impact on real economic activity in all Pacific Alliance countries: about 1% in Colombia, Mexico, and Peru, and about 0.5% in Chile. Thus, its contribution to business cycle fluctuations is similar to that of aggregate supply shocks and aggregate demand shocks in both stability and slowdown periods. Second, the power of loan supply shocks to affect economic activity do not remain constant over the time and its evolution across periods is heterogeneous among all Pacific Alliance countries. The sensitivity analysis indicates that the results of the model are robust to different priors specifications and to multiple sets of sign restrictions. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Time evolution of external shocks on macroeconomic fluctuations in Pacific Alliance countries: empirical application using TVP-VAR-SV models(Pontificia Universidad Católica del Perú, 2022-03)This article provides empirical evidence on the evolution of the impact of external shocks on the macroeconomic dynamics of the Pacific Alliance (PA) countries. For this purpose, we estimate a family of VAR models that allows time variation (or constancy) of parameters, including the variance matrix (TVP-VAR-SV). The results suggest that: (i) fluctuations from China create the most significant and persistent responses: a 1% increase in China’s growth raises growth by 0.3%-0.4% during the first year in Chile, Colombia, and Mexico; and by 0.8% in Peru; (ii) responses to export price shocks evolve considerably over time; e.g., the impact on growth in Chile and Peru tripled in 1994-2009 and then moderated until 2019; and (iii) unexpected Fed rate increases result in significant increases in AP countries’ monetary policy rates, an effect that escalates during crisis periods and further deepens the negative impact on domestic output growth. Additionally, variance decomposition shows that external factors explained over 50% of deviations in the domestic variables considered in this work. In particular, the results show that external shock absorption over the sample is higher in Mexico and Peru. In contrast, the change in domestic dynamics in absence of external disturbances would have been milder in Chile and Colombia. Finally, we perform four robustness exercises, which imply the following modifications to the baseline model: (i) changing priors; (ii) modifying two external variables; (iii) using lowdimensional models (4, 5, and 6 variables); and (iv) expanding the model by adding a fiscal policy variable. The results do not change significantly relative to those found using the baseline model. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Regime-Switching, Stochastic Volatility, Fiscal Policy Shocks and Macroeconomic Fluctuations in Peru(Pontificia Universidad Católica del Perú. Departamento de Economía, 2024-10)Following Chan and Eisenstat (2018a), we use a family of regime-switching models with time-varying parameters and stochastic volatility (RS-VAR-SV) to analyze the evolution of fiscal shocks impacts on Peru's economic growth from 1995Q1 to 2019Q4. Key findings include: (i) identification of two distinct economic regimes with different macroeconomic fundamentals tied to improvements in fiscal and monetary policy; (ii) enhanced model fi with the inclusion of stochastic volatility; (iii) a positive trend in the size of spending multipliers, though they remain below unity; (iv) during the 2008 Global Financial Crisis, capital expenditure shocks mitigated the decline in economic growth by 2 percentage points, highlighting their counter-cyclical potential. These findings are corroborated by robustness checks, which include changes in priors, variable reordering, adjustments in external and demand variables, and extending the sample to 2022Q4 to encompass the COVID-19 crisis. - Some of the metrics are blocked by yourconsent settings
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, Modeling the trend, persistence, and volatility of inflation in Pacific Alliance countries: an empirical application using a model with inflation bands(Pontificia Universidad Católica del Perú. Departamento de Economía, 2024-02)This paper estimates and analyzes the dynamics of trend inflation, as well as the persistence and volatility of the inflation gap in the Pacific Alliance countries (Chile, Colombia, Mexico, and Peru). For this purpose, the econometric approach is based on methodologies proposed by Stock and Watson (2007) and Chan et al. (2013). Among these, the AR-Trend-Bound model considers the implications of inflation targeting in estimating the unobserved components of inflation. The results indicate that this model effectively allocates most of the permanent component to trend inflation. Additionally, a decreasing trend in inflation in the 1990s, stabilization in the first two decades of the 21st century, and a growing trend inflation following the onset of the COVID-19 pandemic are observed in all four countries. The low levels of inflation gap persistence prior to the pandemic reflect the effectiveness of central banks in maintaining inflation close to its trend level. Finally, the volatility of the inflation gap identifies the “Great Moderation” of inflation, with increases in volatility during the pandemic reaching levels similar to those estimated in the 1990s. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Time changing effects of external shocks on macroeconomic fluctuations in Peru: empirical application using regime-switching VAR models with stochastic volatility(Pontificia Universidad Católica del Perú. Departamento de Economía, 2022-03)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 regimeswitching time-varying parameters and stochastic volatility (RS-VAR-SV), as proposed by Chan and Eisenstat (2018). 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 specications for the baseline model. - 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.