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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, Evolution of Monetary Policy in Peru: An Empirical Application using a Mixture Innovation TVP-VAR-SV Model(Pontificia Universidad Católica del Perú. Departamento de Economía, 2020-02)This paper discusses the evolution of monetary policy (MP) in Peru in 1996Q1-2016Q4 using a mixture innovation time-varying parameter vector autoregressive model with stochastic volatility (TVP-VAR-SV) as proposed by Koop et al. (2009). The main empirical results are: (i) the VAR coefficients and volatilities change more gradually than the covariance errors over time; (ii) the volatility of MP shocks was higher under the pre-Inflation Targeting (IT) regime; (iii) a surprise increase in the interest rate produces GDP growth falls and reduces ináation in the long run; (iv) the interest rate reacts more quickly to aggregate supply (AS) shocks than to aggregate demand (AD) shocks; (v) MP shocks explain a high percentage of domestic variable behavior under the pre-IT regime but their contribution decreases under the IT regime. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Time-Varying Effects of Financial Uncertainty Shocks on Macroeconomic Fluctuations in Peru(Pontificia Universidad Católica del Perú. Departamento de Economía, 2024-01)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. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Macroeconomic effects of loan supply shocks: empirical evidence for Peru(Centro de Investigacion y Docencia Economicas A.C., 2021-01-01)This paper quantifies and assesses the impact of an adverse loan supply (LS) shock on Peru’s main macroeconomic aggre-gates using a Bayesian vector autoregressive (BVAR) model in combination with an identification scheme with sign restric-tions. The main results indicate that an adverse LS shock: (i) reduces credit and real GDP growth by 372 and 75 basis points in the impact period, respectively; (ii) explains 11.2% of real GDP growth variability on average over the following 20 quarters; and (iii) explained a 180-basis point fall in real GDP growth on average during 2009Q1-2010Q1 in the wake of the Global Financial Crisis (GFC). Additionally, the sensitivity analysis shows that the results are robust to alternative identification schemes with sign restrictions; and that an adverse LS shock has a greater impact on non-primary real GDP growth. - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Foreign Traders in South America and the Financing of the Independence Wars, 1820-1830(Universitat de Barcelona, Facultad de Economia y Empresa, 2023-01-09)Studying commerce and traders from a global perspective allows us to analyze the material and cultural exchanges that took place beyond national borders, which are often obscured by traditional historical perspectives centered on the nation. This wide terrain is explored here by addressing — and visualizing — the interrelations between the South American ports of Lima, Valparaíso and Buenos Aires, from the vantage point of independent Peru. To do so, we study the links among foreign merchants who were rooted or closely connected to such ports in the context of the South American wars of independence. War placed Peru in a disastrous economic situation, a circumstance that foreign merchants exploited by becoming the main lenders to the new State, which struggled to cover the expenses of the army to sustain the war. These businessmen created a mercantile network that bridged the boundaries of the recently created nation-states and testified to their great business skills as it broke the economic system of commercial control that had prevailed during three hundred years. Research in Peruvian Governmental, Notary, and Customs documentation unveils their ability to act as agents, negotiate loans and purchases, and take advantage of the wartime crisis to become the main providers of weaponry and military supplies and acquire a privileged position. Since South America was not prepared to reach its independence in the early 19th century without an army, without money, or without weaponry, the nascent states’ economic and financial dependence on foreign traders that started during these times was in a sense inevitable.