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Nuestro Prof. Gabriel Rodriguez junto a Mauricio Alvarado Tafur publicaron el artículo Time-varying effects of financial uncertainty shocks on macroeconomic fluctuations in Peru en el Journal of International Money and Finance.
Este journal pertenece a (Q1) en Economía, Econometría y Finanzas, según el Scimago Journal & Country Rank (SJR), destacándose como una de las más prestigiosas en su campo.
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.
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