Publicación

Time-Varying Effects of External Shocks on Macroeconomic Fluctuations in Peru: An Empirical Application Using TVP-VAR-SV Models

Gabriel Rodrı́guez · Paúl Castillo · Junior A. Ojeda Cunya
2023 Open Economies Review DOI: 10.1007/s11079-023-09742-5

Resumen

This study uses a family of VAR models with time-varying parameters and stochastic volatility (TVP-VAR-SV) to analyze the impact of external shocks on output growth and inflation in Peru in 1992Q1-2017Q1. The statistical relevance of the models is assess...

Autores y colaboradores

Authors

Gabriel Rodrı́guez
Paúl Castillo
Junior A. Ojeda Cunya

Palabras clave

Autoregressive vectors with time-varying parameters Bayesian estimation and comparison C11 C32 E32 External shocks F41 F62 Macroeconomic fluctuations Peruvian economy Stochastic volatility Macroeconomía Perú
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