Time-varying effects of financial uncertainty shocks on macroeconomic fluctuations in Peru

• Autor: Alvarado Tafur, Mauricio Andreé
• Formato: tesis de grado
• Fecha de Publicación: 2024
• Institución: Pontificia Universidad Católica del Perú
• Repositorio: PUCP-Tesis
• Lenguaje: español
• OAI Identifier: oai:tesis.pucp.edu.pe:20.500.12404/29613
• Enlace del recurso: http://hdl.handle.net/20.500.12404/29613
• Nivel de acceso: acceso abierto
• Materia: Macroeconomía--Perú; Riesgo financiero--Perú; Modelos de ecuaciones estructurales; 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 byunfavorable financial conditions.