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Evaluation of wavelet - based core inflation measures : evidence form Peru
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2011)
Under inflation targeting and other related monetary policy regimes, the identification of non-transitory inflation and forecasts about future inflation constitute key ingredients for monetary policy decisions. In practice, central banks perform these tasks using so-called core inflation measures”. In this paper we construct alternative core inflation measures using wavelet functions and multiresolution analysis (MRA), and then evaluate their relevance for monetary policy. The construction of wavelet-based core inflation measures (WIMs) is relatively new in the literature and their assessment has not been addressed formally, this paper being the first attempt to perform both tasks for the case of Peru. Another main contribution of this paper is that it proposes two alternative criteria for evaluating core inflation measures: (i) a VAR-based long-run criterion, and (ii) forecast-based criteria. Evidence from Peru shows that WIMs are superior in terms of long-run performance, and that they could improve short-term (up-to-6-months) inflation forecasts.
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Understanding the Functional Central Limit Theorems with some applications to unit root testing with structural change
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2011)
This paper analyzes and employs two versions of the Functional Central Limit Theorem within the framework of a unit root with a structural break. Initial attention is focused on the probabilistic structure of the time series to be considered. Later, attention is placed on the asymptotic theory for nonstationary time series proposed by Phillips (1987a), which is applied by Perron (1989) to study the effects of an (assumed) exogenous structural break on the power of the augmented Dickey-Fuller test and by Zivot and Andrews (1992) to criticize the exogeneity assumption and propose a method for estimating an endogenous breakpoint. A systematic method for dealing with efficiency issues is introduced by Perron and Rodríguez (2003), which extends the Generalized Least Squares detrending approach due to Elliott, Rothenberg, and Stock (1996)
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Economía dinámica, economía aplicada y teoría de juegos : ensayos en homenaje a Ramón García-Cobián
(Pontificia Universidad Católica del Perú. Fondo Editorial, 2007)
Este volumen reúne contribuciones en diversas áreas de la Economía, con un énfasis variable en el uso de herramientas matemáticas, de antiguos estudiantes (y, en un caso excepcional, de un colega) de Ramón García-Cobián. Contiene además una semblanza de Ramón escrita por su antiguo maestro y colega de muchos años, César Carranza. Con esta recopilación, queremos rendir homenaje a quien amplió de manera fundamental el horizonte intelectual de muchos estudiantes, incluyendo los autores de este libro, enseñando e ilustrando en cada clase el poder del lenguaje matemático al servicio de la ciencia económica. Deseamos hacerlo, precisamente, poniendo al alcance del público interesado en la ciencia económica en el Perú una mirada al estado actual de la investigación en las diversas áreas de trabajo de los autores. Esta tarea parece más útil en cuanto la mayoría de los autores ejercen su actividad profesional fuera de nuestro país. Aspiramos a ampliar, en alguna medida, el horizonte intelectual de generaciones más jóvenes de economistas peruanos, tal y como lo hizo por nosotros, con dedicación e inteligencia dificiles de igualar, Ramón García-Cobián.
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