Time-Varying Effects of Financial Uncertainty Shocks on Macroeconomic Fluctuations in Peru

• Autores: Alvarado, Mauricio, Rodríguez, Gabriel
• Formato: documento de trabajo
• Fecha de Publicación: 2024
• Institución: Pontificia Universidad Católica del Perú
• Repositorio: PUCP-Institucional
• Lenguaje: inglés
• OAI Identifier: oai:repositorio.pucp.edu.pe:20.500.14657/196760
• Enlace del recurso: https://repositorio.pucp.edu.pe/index/handle/123456789/196760; http://doi.org/10.18800/2079-8474.0531
• Nivel de acceso: acceso abierto
• Materia: Macroeconomic Fluctuations; Financial Uncertainty Shocks; Autoregressive Vectors with Time-Varying Parameters; Stochastic Volatility; Bayesian Estimation and Comparison; Peruvian Economy; https://purl.org/pe-repo/ocde/ford#5.02.01

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.