Nueva publicación del Profesor Gabriel Rodriguez en Review of World Economics


Nuestro Profesor Principal Gabriel Rodriguez ha publicado el artículo: “Time changing effects of external shocks on macroeconomic fluctuations in Peru: empirical application using regime-switching VAR models with stochastic volatility” en Review of World Economics (2023) 159(2), 505-544. El paper es co-autorado con Paulo Chávez (PUCP).

La Revista/Journal es Q1 (Scopus) y Q2 (Web of Science/Clarivate) con 1.681 (Impact Factor al 2021) y 1.845 (Impact Factor de 5 años al 2021).


This article quantifies and analyzes the evolving impact of external shocks on Peru’s macroeconomic fluctuations in 1994Q1–2019Q4. For this purpose, we use a group of models with regime-switching time-varying parameters and stochastic volatility (RS-VAR-SV), as proposed by Chan and Eisenstat (J Appl Econ 33(4):509–532, 2018. The data suggest a model with contemporaneous coefficients and constant lags and intercepts, but with regime-switching variances; and point to the existence of two regimes. The IRFs, FEVDs, and HDs show that: (i) China growth shocks have a higher impact on Peru’s output growth (around 0.8%); (ii) financial shocks contract domestic output growth by 0.3% and domestic monetary policy is synchronized with Fed rate movements; (iii) external shocks explain 35% and 70% of output fluctuations under regimes 1 and 2, respectively; and (iv) China growth shocks contributed 1.0 p.p. to the 1.1-p.p. increase (around 89%) in Peru’s output growth between regimes 1 and 2. Additionally, we validate these results by performing seven robustness exercises consisting in changing priors, reordering variables, changing variables, and using four different specifications for the baseline model.

Más información sobre el paper, aquí.