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Estimación de un Índice de Condiciones Financieras para el Perú

Author

Listed:
  • Nivín, Rafael
  • Pérez, Fernando

    (Banco Central de Reserva del Perú)

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.

Suggested Citation

  • Nivín, Rafael & Pérez, Fernando, 2019. "Estimación de un Índice de Condiciones Financieras para el Perú," Working Papers 2019-006, Banco Central de Reserva del Perú.
  • Handle: RePEc:rbp:wpaper:2019-006
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    References listed on IDEAS

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    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.
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    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)

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