Time-varying impact of fiscal shocks over GDP growth in Peru: An empirical application using hybrid TVP-VAR-SV models

Alvaro Jiménez, Gabriel Rodríguez, Miguel Ataurima Arellano

Producción científica: Contribución a una revistaArtículorevisión exhaustiva

5 Citas (Scopus)

Resumen

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.

Idioma originalInglés
Páginas (desde-hasta)314-332
Número de páginas19
PublicaciónStructural Change and Economic Dynamics
Volumen64
DOI
EstadoPublicada - mar. 2023

Huella

Profundice en los temas de investigación de 'Time-varying impact of fiscal shocks over GDP growth in Peru: An empirical application using hybrid TVP-VAR-SV models'. En conjunto forman una huella única.

Citar esto