Time-varying effects of financial uncertainty shocks on macroeconomic fluctuations in Peru

IF 2.8 2区 经济学 Q2 BUSINESS, FINANCE
Mauricio Alvarado, Gabriel Rodríguez
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引用次数: 0

Abstract

This article employs a family of VAR models with time-varying parameters and stochastic volatility (TVP-VAR-SV) to estimate the impact of external financial uncertainty shocks on a set of macroeconomic variables in Peru for the period from 1996Q1 to 2022Q4. The main findings can be summarized as follows: (i) a simple VAR model with stochastic volatility is sufficient to capture uncertainty dynamics compared to TVP-VAR alternatives; (ii) uncertainty shocks have a negative and significant impact on private investment growth in the medium and long term; (iii) the impact on private investment growth is three times greater than that on GDP growth; (iv) uncertainty shocks behave like aggregate supply shocks, leading to an increase in the inflation rate; and (v) uncertainty shocks have stronger effects in scenarios characterized by unfavorable financial conditions.
金融不确定性冲击对秘鲁宏观经济波动的时变影响
本文采用一系列具有时变参数和随机波动率的VAR模型(tpv -VAR- sv)来估计外部金融不确定性冲击对秘鲁1996Q1 - 2022Q4期间一组宏观经济变量的影响。主要发现如下:(1)与tpv -VAR替代方案相比,具有随机波动率的简单VAR模型足以捕捉不确定性动态;(ii)不确定性冲击在中长期对私人投资增长产生负面和重大影响;(iii)对私人投资增长的影响是对GDP增长的影响的三倍;(iv)不确定性冲击的行为类似于总供给冲击,导致通货膨胀率上升;(5)不确定性冲击在金融状况不利的情况下具有更强的影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
4.20
自引率
4.00%
发文量
141
期刊介绍: Since its launch in 1982, Journal of International Money and Finance has built up a solid reputation as a high quality scholarly journal devoted to theoretical and empirical research in the fields of international monetary economics, international finance, and the rapidly developing overlap area between the two. Researchers in these areas, and financial market professionals too, pay attention to the articles that the journal publishes. Authors published in the journal are in the forefront of scholarly research on exchange rate behaviour, foreign exchange options, international capital markets, international monetary and fiscal policy, international transmission and related questions.
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