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Item type:Publication, Fiscal rules and public investment: the case of Peru, 2000-2019(2021-01-28)This article has three goals. First, it describes the genesis of fiscal rules in Peru and its degree of compliance. Second, it estimates the effect of fiscal rules adoption on public investment. Last, it analyzes the impact of alternative fiscal rules on public investment and public debt sustainability. Our main results are as follows. First, the implementation of fiscal rules in the year 2000 caused a 60 to 80 percent fall in public investment relative to several counterfactuals. Second, our DSGE model suggests a Structural Fiscal Rule would have increased the consumers welfare in the period 2000-2019 more than other fiscal designs. This rule reduces the procyclicality of public investment under commodity price shocks and macroeconomic volatility under world interest rate shocks. Third, a Structural Fiscal Rule has the lowest probability of exceeding the current public debt limit (30 percent of GDP), although there is a trade-off between investment-friendly rules and fiscal sustainability issues. Nevertheless, our quantitative results are limited to short spans of analysis. With a long-run perspective, we may say that fiscal rulesdespite constant modifications and recurring non-compliancehave fulfilled their original and most important goal of achieving the consolidation of public finances.2 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Time-Varying Impact of Fiscal Shocks over GDP Growth in Peru: An Empirical Application Using Hybrid TVP-VAR-SV Models(Elsevier B.V., 2023-03-01)This paper estimates hybrid TVP-VAR-SV models suggested by Chan and Eisenstat (2018a) to identify and quantify the impact of fiscal shocks on GDP growth in Peru between 1995Q1–2018Q2. According to Bayesian criteria, the best models exhibit time-varying dynamics, but not necessarily in all parameters. Considering this result, our findings suggest that: (i) fiscal shocks are significant in the whole sample according to impulse response functions, forecast error variance decomposition and historical decomposition of GDP growth; (ii) tax revenue shocks are the least important and their impact is model dependent; (iii) expenditure shocks are relevant drivers of GDP growth; and (iv) expenditure multipliers, mainly for capital spending, have been growing over the last 20 years. We recommend constant revision of estimated fiscal multipliers and suggest that, in following years, fiscal policy in Peru should be mostly driven by capital expenditure.1 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, 2 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, When expectations matter: The role of fiscal foresight in government spending shocks in Peru(Elsevier BV, 2026-01-01)This paper estimates the macroeconomic effects of government spending in Peru while explicitly accounting for fiscal foresight—the possibility that economic agents anticipate future fiscal actions before they are implemented. We use a standard vector autoregressive (VAR) framework with recursive identification and incorporate quarterly government spending projections published by the Central Reserve Bank of Peru to isolate the anticipated component of fiscal policy. Unanticipated government spending shocks raise real GDP; however, their effects are systematically overstated when anticipated fiscal information is omitted. Anticipated spending shocks – captured through government spending projections – also generate positive and statistically significant effects on output. These findings remain robust to alternative measures of fiscal foresight, different recursive orderings, and the inclusion of additional control variables, including private consumption and terms of trade. The results highlight the importance of distinguishing between anticipated and unanticipated fiscal actions for credible empirical assessment of fiscal multipliers in emerging economies.2 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Regime-switching, fiscal policy shocks and macroeconomic fluctuations in Peru(Elsevier BV, 2026-06-01)Following Chan and Eisenstat (2018a), we use a family of regime-switching models to analyze the evolution of fiscal shocks impacts on Peru’s economic growth from 1995Q1 to 2019Q4. Key findings include: (i) identification of two distinct economic regimes with different macroeconomic fundamentals tied to improvements in fiscal and monetary policy; (ii) enhanced model fit with the inclusion of regime switching volatility (RSV); (iii) a positive trend in the size of spending multipliers, though they remain below unity; (iv) during the 2008 Global Financial Crisis, capital expenditure shocks mitigated the decline in economic growth by 2 percentage points, highlighting their counter-cyclical potential. These findings are corroborated by robustness checks, which include changes in priors, variable reordering, adjustments in external and demand variables, and extending the sample to 2022Q4 to encompass the COVID-19 crisis.1 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Evolving impacts of fiscal policy on macroeconomic fluctuations in Peru(Elsevier BV, 2025-03-01)This study assesses the evolving impact of fiscal policy on Peru's economic activity in 1995Q1-2018Q2 using unrestricted and restricted TVP-VAR-SV models as proposed by Chan and Eisenstat (2018a). The results highlight the necessity of including stochastic volatility, although there is no clear evidence for time-varying parameters. Shocks from government consumption growth and public investment growth significantly influence the forecast error variance decomposition and the historical decomposition of GDP growth. Conversely, the impact of tax revenue shocks remains weak throughout the study period. The public investment multiplier exceeds that of government consumption although both are less than 1, suggesting a limited capacity of fiscal policy to stimulate economic activity. The study also finds that external shocks (export price index growth) have a strong and positive impact on tax revenue growth. A series of robustness exercises further confirms these results.1