IDEAS home Printed from https://ideas.repec.org/a/rbp/esteco/ree-37-03.html
   My bibliography  Save this article

Estimación de un Índice de Condiciones Financieras para el Perú

Author

Listed:
  • Nivín, Rafael
  • Pérez, Fernando

Abstract

Se estima un Índice de condiciones financieras (ICF) para la economía peruana en el periodo comprendido entre 2004 y 2018. Para ello, se utiliza la metodología propuesta por Koop y Korobilis (2014), la cual emplea un modelo VAR aumentado por factores y que contiene parámetros que cambian en el tiempo (TVP-FAVAR). Así, esta metodología produce un indicador representativo de todas las variables relevantes para el sistema financiero y, dada su flexibilidad, también permite que las contribuciones de las variables incluidas en el modelo cambien a lo largo de la muestra. Utilizando este índice de condiciones financieras se cuantifica la interrelación entre el sector real y financiero en la economía peruana, donde en particular se estima la reacción del índice estimado frente a distintos choques macroeconómicos y se estudia también el co-movimiento de este con el crecimiento del PBI. Posteriormente, se muestra la descomposición histórica estructural de dicho índice. La agenda futura se centra en evaluar en la capacidad predictiva de este Índice y también en su capacidad de convertirse en una mecanismo de alerta temprana (Gómez et al., 2011).

Suggested Citation

  • Nivín, Rafael & Pérez, Fernando, 2019. "Estimación de un Índice de Condiciones Financieras para el Perú," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 37, pages 49-64.
    • Handle: RePEc:rbp:esteco:ree-37-03
    as

    Download full text from publisher

    File URL: https://www.bcrp.gob.pe/docs/Publicaciones/Revista-Estudios-Economicos/37/ree-37-nivin-perez.pdf
    Download Restriction: no

    Other versions of this item:

    References listed on IDEAS

    as
    1. Bates, Brandon J. & Plagborg-Møller, Mikkel & Stock, James H. & Watson, Mark W., 2013. "Consistent factor estimation in dynamic factor models with structural instability," Journal of Econometrics, Elsevier, vol. 177(2), pages 289-304.
    2. Gondo, Rocío & Pérez, Fernando, 2018. "The Transmission of Exogenous Commodity and Oil Prices shocks to Latin America - A Panel VAR approach," Working Papers 2018-012, Banco Central de Reserva del Perú.
    3. Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Journal of Econometrics, Elsevier, vol. 164(1), pages 188-205, September.
    4. Breitung, Jörg & Eickmeier, Sandra, 2011. "Testing for structural breaks in dynamic factor models," Journal of Econometrics, Elsevier, vol. 163(1), pages 71-84, July.
    5. Marco Vega & Adrian Armas & Paul Castillo, 2014. "Inflation Targeting and Quantitative Tightening: Effects of Reserve Requirements in Peru," ECONOMIA JOURNAL OF THE LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION, ECONOMIA JOURNAL OF THE LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION, vol. 0(Fall 2014), pages 133-175, June.
    6. Koop, Gary & Korobilis, Dimitris, 2010. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," Foundations and Trends(R) in Econometrics, now publishers, vol. 3(4), pages 267-358, July.
    7. repec:hal:journl:peer-00844811 is not listed on IDEAS
    8. Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2008. "Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change," Working Papers 334, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    9. Drechsel, Thomas & Tenreyro, Silvana, 2018. "Commodity booms and busts in emerging economies," Journal of International Economics, Elsevier, vol. 112(C), pages 200-218.
    10. Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Journal of Econometrics, Elsevier, vol. 164(1), pages 188-205, September.
    11. Marco Vega & Adrian Armas & Paul Castillo, 2014. "Inflation Targeting and Quantitative Tightening: Effects of Reserve Requirements in Peru," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, vol. 0(Fall 2014), pages 133-175, June.
    12. Litterman, Robert B, 1986. "Forecasting with Bayesian Vector Autoregressions-Five Years of Experience," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 25-38, January.
    13. Gill Hammond, 2012. "State of the art of inflation targeting," Handbooks, Centre for Central Banking Studies, Bank of England, edition 4, number 29, December.
    14. Dieppe, Alistair & van Roye, Björn & Legrand, Romain, 2016. "The BEAR toolbox," Working Paper Series 1934, European Central Bank.
    15. Steven L. Scott & Hal R. Varian, 2015. "Bayesian Variable Selection for Nowcasting Economic Time Series," NBER Chapters, in: Economic Analysis of the Digital Economy, pages 119-135, National Bureau of Economic Research, Inc.
    16. Giorgio E. Primiceri, 2005. "Time Varying Structural Vector Autoregressions and Monetary Policy," Review of Economic Studies, Oxford University Press, vol. 72(3), pages 821-852.
    17. Pérez-Forero, Fernando & Vega, Marco, 2014. "The Dynamic Effects of Interest Rates and Reserve Requirements," Working Papers 2014-018, Banco Central de Reserva del Perú.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Condiciones Financieras; TVP-FAVAR; BVAR;

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rbp:esteco:ree-37-03. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Departamento de Publicaciones Económicas). General contact details of provider: http://edirc.repec.org/data/bcrgvpe.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.