3. Producción
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Item type:Publication, Mediciones del cambio estructural en el Perú: un análisis regional, 2002-2011(Pontificia Universidad Católica del Perú. Departamento de Economía, 2013)Despite of the high rate of economic growth and significant reduction of the poverty rate in Peruvian economy in the last decade, the three estimated measures of structural change that this paper presents indicate that this change has not been significative in the regions of Peru, particularly for poor regions. This low level of structural change is consistent, on the one hand, with the near unchangeable productive structure concentrated on primary products and services of low labor productivity. On the other hand, with the small decline (of 5 percentages points) of the share of labor force employed in informal activities out of the total employed labor force between the 2002-2008 and 2011-2012 periods. If the goal of Peruvian economy and its regions is to reach the economic development, the present model with high economic growth and decline of poverty will not be sufficient to reach that goal. This will require structural changes in production and informal activities of low labor productivity in such a way that the high disparity in labor productivities of regions, sectors and activities vanish with continuous and auto-sustainable increases of their respective labor productivities. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Distinguishing between True and Spurious Long Memory in the Volatility of Stock Market Returns in Latin America(Pontificia Universidad Católica del Perú. Departamento de Economía, 2014)In this study, we investigate the long term dependence or long memory present in the volatility of the stock market returns of Peru, Brazil, Mexico, Chile, Argentina, and the S&P500. We start analyzing the form of the autocorrelation function (ACF) and the estimated spectral density. Moreover, volatility is modeled by way of FIGARCH processes that contribute additional indications of this behavior. Following a testing approach, the W statistics of Qu (2011), Wc, _ and Zt due to Shimotsu (2006), and the statistics td(1=2; 1; 4=5; 1), and mean td of Perron and Qu (2010) are used to verify for long memory. Also we show evidence about the behavior of the long memory estimator b d for different sample sizes included in the estimation procedure. The evidence reported graphically and through the statistics suggests that the generating process of the volatility series is spurious memory, except for Chile, whose evidence of spurious memory is weak. Moreover, the graphics contain important information on the spurious memory behavior. The results of this study suggest that in reality, the long memory that is usually found in empirical studies would rather be associated with spurious memory, which could be due to the presence of structural breaks. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Volatility of Stock Market and Exchange Rate Returns in Peru: Long Memory or Short Memory with Level Shifts?(Pontificia Universidad Católica del Perú. Departamento de Economía, 2014)Though the econometrics literature on this area is extensive, in Peru few studies have been dedicated to the analysis of financial returns in general and volatility in particular. As part of an empirical research agenda suggested by Humala and Rodríguez (2013), this paper represents one of the first attempts to distinguish between long- and short-memory (with level shifts) in volatility of Peru’s stock market and exchange rate returns. We utilize the statistical approach put forward by Perron and Qu (2010). The data is end-of-day and span the period January 3, 1990 to June 13, 2013 (5,831 observations) for the stock market returns, and January, 3 1997 until June 24, 2013 (4,110 observations) for exchange rate returns. The analysis of the ACF, the periodogram and the fractional parameter estimation for the two volatilities suggest that the theoretical predictions of Perron and Qu s simple mixture model (2010) are correct. The results are more conclusive for stock market volatility in comparison with those of the exchange rate. The application of one of the statistics employed by Perron and Qu (2010) suggest the rejection of a long-memory hypothesis for both volatilities. Nonetheless, the other statistics provide weak evidence against the null hypothesis, above all for the exchange rate market. To reinforce the findings, some results associated with other investigations are presented.