Time-Varying Impact of Fiscal Shocks over GDP Growth in Peru: An Empirical Application using Hybrid TVP-VAR-SV Models

Descripción del Articulo

Documento de trabajo; 489
Detalles Bibliográficos
Autores: Jiménez, Álvaro, Rodríguez, Gabriel
Formato: documento de trabajo
Fecha de Publicación:2020
Institución:Pontificia Universidad Católica del Perú
Repositorio:PUCP-Institucional
Lenguaje:inglés
OAI Identifier:oai:repositorio.pucp.edu.pe:20.500.14657/176230
Enlace del recurso:http://repositorio.pucp.edu.pe/index/handle/123456789/176230
http://doi.org/10.18800/2079-8474.0489
Nivel de acceso:acceso abierto
Materia:Fiscal Multipliers
Fiscal Policy
Hybrid TVP-VAR-SV Models
Bayesian Methods
Peruvian Economy
http://purl.org/pe-repo/ocde/ford#5.02.00
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dc.title.es_ES.fl_str_mv Time-Varying Impact of Fiscal Shocks over GDP Growth in Peru: An Empirical Application using Hybrid TVP-VAR-SV Models
title Time-Varying Impact of Fiscal Shocks over GDP Growth in Peru: An Empirical Application using Hybrid TVP-VAR-SV Models
spellingShingle Time-Varying Impact of Fiscal Shocks over GDP Growth in Peru: An Empirical Application using Hybrid TVP-VAR-SV Models
Jiménez, Álvaro
Fiscal Multipliers
Fiscal Policy
Hybrid TVP-VAR-SV Models
Bayesian Methods
Peruvian Economy
http://purl.org/pe-repo/ocde/ford#5.02.00
title_short Time-Varying Impact of Fiscal Shocks over GDP Growth in Peru: An Empirical Application using Hybrid TVP-VAR-SV Models
title_full Time-Varying Impact of Fiscal Shocks over GDP Growth in Peru: An Empirical Application using Hybrid TVP-VAR-SV Models
title_fullStr Time-Varying Impact of Fiscal Shocks over GDP Growth in Peru: An Empirical Application using Hybrid TVP-VAR-SV Models
title_full_unstemmed Time-Varying Impact of Fiscal Shocks over GDP Growth in Peru: An Empirical Application using Hybrid TVP-VAR-SV Models
title_sort Time-Varying Impact of Fiscal Shocks over GDP Growth in Peru: An Empirical Application using Hybrid TVP-VAR-SV Models
author Jiménez, Álvaro
author_facet Jiménez, Álvaro
Rodríguez, Gabriel
author_role author
author2 Rodríguez, Gabriel
author2_role author
dc.contributor.author.fl_str_mv Jiménez, Álvaro
Rodríguez, Gabriel
dc.subject.en_US.fl_str_mv Fiscal Multipliers
Fiscal Policy
Hybrid TVP-VAR-SV Models
Bayesian Methods
Peruvian Economy
topic Fiscal Multipliers
Fiscal Policy
Hybrid TVP-VAR-SV Models
Bayesian Methods
Peruvian Economy
http://purl.org/pe-repo/ocde/ford#5.02.00
dc.subject.ocde.none.fl_str_mv http://purl.org/pe-repo/ocde/ford#5.02.00
description Documento de trabajo; 489
publishDate 2020
dc.date.accessioned.none.fl_str_mv 2021-05-06T21:29:25Z
dc.date.available.none.fl_str_mv 2021-05-06T21:29:25Z
dc.date.issued.fl_str_mv 2020-04
dc.type.none.fl_str_mv info:eu-repo/semantics/workingPaper
dc.type.other.none.fl_str_mv Documento de trabajo
format workingPaper
dc.identifier.uri.none.fl_str_mv http://repositorio.pucp.edu.pe/index/handle/123456789/176230
dc.identifier.doi.none.fl_str_mv http://doi.org/10.18800/2079-8474.0489
url http://repositorio.pucp.edu.pe/index/handle/123456789/176230
http://doi.org/10.18800/2079-8474.0489
dc.language.iso.es_ES.fl_str_mv eng
language eng
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urn:issn:2079-8474
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dc.publisher.es_ES.fl_str_mv Pontificia Universidad Católica del Perú. Departamento de Economía
dc.publisher.country.none.fl_str_mv PE
dc.source.none.fl_str_mv reponame:PUCP-Institucional
instname:Pontificia Universidad Católica del Perú
instacron:PUCP
instname_str Pontificia Universidad Católica del Perú
instacron_str PUCP
institution PUCP
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spelling Jiménez, ÁlvaroRodríguez, Gabriel2021-05-06T21:29:25Z2021-05-06T21:29:25Z2020-04http://repositorio.pucp.edu.pe/index/handle/123456789/176230http://doi.org/10.18800/2079-8474.0489Documento de trabajo; 489This paper estimates hybrid TVP-VAR-SV models suggested by Chan and Eisentat (2018a) in order to identify and quantify the impact of fiscal shocks on the GDP growth of Peru during 1995- 2018. According to Bayesian criteria, the best model presents time-varying dynamics but not in all parameters. The results suggest: (i) fiscal shocks are significant according to the calculus of the IRFs, FEVD and HD of the GDP growth; (ii) tax revenue shocks are less important and their impact depends on the selected model and the quarter when the shock occurs; (iii) effect of capital expenditure shocks are the most important drivers of GDP growth; (iv) both fiscal expenditure shocks have been growing over the last 20 years. Finally, we suggest constant revisions of the fiscal multipliers and we think that in the following years, countercyclical fiscal policy in Peru should be mostly driven by capital expenditure.engPontificia Universidad Católica del Perú. Departamento de EconomíaPEurn:issn:2079-8466urn:issn:2079-8474info:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by-nc-nd/2.5/pe/Fiscal MultipliersFiscal PolicyHybrid TVP-VAR-SV ModelsBayesian MethodsPeruvian Economyhttp://purl.org/pe-repo/ocde/ford#5.02.00Time-Varying Impact of Fiscal Shocks over GDP Growth in Peru: An Empirical Application using Hybrid TVP-VAR-SV Modelsinfo:eu-repo/semantics/workingPaperDocumento de trabajoreponame:PUCP-Institucionalinstname:Pontificia Universidad Católica del Perúinstacron:PUCPhttps://orcid.org/0000-0002-1740-6037https://orcid.org/0000-0003-1174-9642CC-LICENSElicense_rdflicense_rdfapplication/rdf+xml; charset=utf-8811https://repositorio.pucp.edu.pe/bitstreams/1cf29b69-2534-4972-9a8b-bb2aec7544c7/download3655808e5dd46167956d6870b0f43800MD52falseAnonymousREADLICENSElicense.txtlicense.txttext/plain; charset=utf-81748https://repositorio.pucp.edu.pe/bitstreams/92b13b56-cae6-4737-ad8f-4b1b0a9bb5c0/download8a4605be74aa9ea9d79846c1fba20a33MD53falseAnonymousREADORIGINALDDD489.pdfDDD489.pdfTexto completoapplication/pdf1872521https://repositorio.pucp.edu.pe/bitstreams/537f9a4e-c6e1-493e-a42c-45bc0f14ac0c/downloadf3ef78b066e027c519347847164ff2ceMD54trueAnonymousREADTHUMBNAILDDD489.pdf.jpgDDD489.pdf.jpgIM Thumbnailimage/jpeg42594https://repositorio.pucp.edu.pe/bitstreams/c821ba76-1438-4c6e-b401-a1ba1e7ba297/download5fb50034ac9fd54e941b516e45c2e25cMD55falseAnonymousREADTEXTDDD489.pdf.txtDDD489.pdf.txtExtracted texttext/plain98820https://repositorio.pucp.edu.pe/bitstreams/a12ef77a-4281-460a-8106-7ffd7759b0a0/download75d78b8bfd4d673c39da86e1b08f3ad8MD56falseAnonymousREAD20.500.14657/176230oai:repositorio.pucp.edu.pe:20.500.14657/1762302025-05-22 10:53:33.412http://creativecommons.org/licenses/by-nc-nd/2.5/pe/info:eu-repo/semantics/openAccessopen.accesshttps://repositorio.pucp.edu.peRepositorio Institucional de la PUCPrepositorio@pucp.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Time-Varying Impact of Fiscal Shocks over GDP Growth in Peru: An Empirical Application using Hybrid TVP-VAR-SV Models
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