Time-varying effects of external shocks on macroeconomic fluctuations in Peru: an empirical application using TVP-VAR- SV models

• Autores: Rodríguez, Gabriel, Ojeda A. Cunya, Junior
• Formato: otro
• Fecha de Publicación: 2022
• Institución: Pontificia Universidad Católica del Perú
• Repositorio: PUCP-Institucional
• Lenguaje: inglés
• OAI Identifier: oai:repositorio.pucp.edu.pe:20.500.14657/184420
• Enlace del recurso: https://repositorio.pucp.edu.pe/index/handle/123456789/184420; http://doi.org/10.18800/2079-8474.0507
• Nivel de acceso: acceso abierto
• Materia: Macroeconomic; External Shocks; Fluctuations; Autoregressive Vectors with Time- Varying Parameters; Stochastic Volatility; Bayesian Estimation and Comparison; Peruvian Economy; http://purl.org/pe-repo/ocde/ford#5.02.00

This study uses a family of VAR models with time-varying coefficients and stochastic volatility (TVP-VAR-SV) to analyze the impact of external shocks on output growth and inflation in Peru in 1992Q1-2017Q1. The statistical relevance of the models is assessed using the deviance information criterion (DIC) and the marginal log-likelihood calculated using the cross-entropy (CE) method. The results show that: (i) it is more relevant to introduce SV than TVP; i.e., the best fitting model admits only varying intercepts and SV; and TVP-VAR and CVAR are the least performing models; (ii) the models impulse response functions indicate that the impacts from external shocks are different under high inflation, economic crisis, and monetary policy change, with a greater impact in episodes of high uncertainty; (iii) the impact and importance of external shocks has increased over time; and (iv) the results are robust to changes in the priors, the lag structure, order of the variables, the external variable, and the variable for domestic economic activity.