Time-Varying Effects of External Shocks on Macroeconomic Fluctuations in Peru: An Empirical Application using TVP-VAR- SV Models
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DOI: 10.18800/2079-8474.0507
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Cited by:
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- Gustavo Ganiko & Alvaro Jiménez, 2023. "Choques externos en la economía peruana: un enfoque de ceros y signos en un modelo BVAR," Documentos de Trabajo / Working Papers 2023-520, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Jiménez, Alvaro & Rodríguez, Gabriel & Ataurima Arellano, Miguel, 2023.
"Time-varying impact of fiscal shocks over GDP growth in Peru: An empirical application using hybrid TVP-VAR-SV models,"
Structural Change and Economic Dynamics, Elsevier, vol. 64(C), pages 314-332.
- Álvaro Jiménez & Gabriel Rodríguez, 2020. "Time-Varying Impact of Fiscal Shocks over GDP Growth in Peru: An Empirical Application using Hybrid TVP-VAR-SV Models," Documentos de Trabajo / Working Papers 2020-489, Departamento de Economía - Pontificia Universidad Católica del Perú.
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More about this item
Keywords
Macroeconomic Fluctuations; External Shocks; Autoregressive Vectors with Time- Varying Parameters; Stochastic Volatility; Bayesian Estimation and Comparison; Peruvian Eco- nomy.;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
- F62 - International Economics - - Economic Impacts of Globalization - - - Macroeconomic Impacts
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MAC-2022-05-02 (Macroeconomics)
- NEP-ORE-2022-05-02 (Operations Research)
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