The role of credit supply shocks in pacific alliance countries: A TVP-VAR-SV approach

Guevara, Carlos; Rodríguez, Gabriel

doi:10.1016/j.najef.2019.101140

Cited by 10 publications

(7 citation statements)

References 56 publications

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“…Future research could consider alternatives such as non-recursive identifications, as suggested by Quispe (2001), or sign restrictions as detailed in Guevara and Rodríguez (2020). Including additional variables could enhance the identification of shocks and MP transmission channels.…”

Section: Discussionmentioning

confidence: 99%

“…Including additional variables could enhance the identification of shocks and MP transmission channels. For instance, credit variables like loan supply could enhance credit channel visibility, as shown in Viladegut and Cabello (2014) and Guevara and Rodríguez (2020). Furthermore, the identification of MP shocks could be improved by incorporating other BCRP instruments, as proposed by Lahura (2010), Castillo et al (2011), andRodriguez et al (2021).…”

Section: Discussionmentioning

confidence: 99%

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Impact of Monetary Policy Shocks in the Peruvian Economy Over Time

Pérez Rojo,

Rodriguez

2023

Documento De Trabajo

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Investigamos la evolución del impacto de los choques de política monetaria (MP) en Perú en 1996Q1-2018Q2 utilizando un conjunto de modelos de vectores autorregresivos de parámetros variantes en el tiempo con volatilidad estocástica (TVP-VAR-SV), según lo propuesto por Chan y Eisenstat (2018). Los principales resultados son: (i) las volatilidades, los interceptos y los coeficientes contemporáneos cambian más gradualmente que los coeficientes VAR a lo largo del tiempo; (ii) la volatilidad de los choques de MP cae de 4% a 0.3% en promedio durante el régimen de Metas de Inflación (IT); (iii) en el largo plazo, un choque de MP contractivo reduce tanto el crecimiento del producto interno bruto (PIB) como la inflación en 0.28% y 0.1%, respectivamente; (iv) la tasa de interés reacciona más rápido a los choques de oferta agregada que a los choques de demanda agregada y a los choques de tipo de cambio; (v) bajo el régimen pre-IT, los choques de MP explican casi el 20%, 10% y 85% de la incertidumbre en el crecimiento del PIB, la inflación y la tasa de interés, respectivamente; y bajo el régimen de IT, todos estos porcentajes se reducen al 1-2%. El análisis de sensibilidad confirma la solidez de los principales resultados a través de varias especificaciones de priors, medidas de variables externas e internas e identificaciones recursivas. En general, los resultados muestran que la MP ha contribuido a disminuir la volatilidad macroeconómica en el Perú.

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Section: Discussionmentioning

confidence: 99%

Section: Discussionmentioning

confidence: 99%

Impact of Monetary Policy Shocks in the Peruvian Economy Over Time

Pérez Rojo,

Rodriguez

2023

Documento De Trabajo

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“…Guevara and Rodriguez [26] applied the same methodology in case of Pacific Alliace countries and found that loan supply shocks are important drivers of economic growth and their contribution is dynamic and heterogeneous among the selected countries.…”

Section: Literature Reviewmentioning

confidence: 99%

Uncovering the Dynamic Relationship between Credit and Sustainable Economic Growth in Selected CEE Countries

2021

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Establishing a functional financial sector has been one of the pillars of transition to a functional market economy over the last three decades in the CEE region. The present paper provides a comprehensive analysis of the relationship between credit and economic growth in selected CEE countries, namely, Czechia, Romania, Poland and Hungary, aiming to answer questions related to (i) the role of the banking sector in fostering sustainable economic growth and the causality direction between the financial and real sector, (ii) the relationship between consumption and investment and certain categories of loans and (iii) the identification of loan supply shocks and their role in explaining the dynamics associated with other macroeconomic variables. Using a time-varying parameter structural vector autoregression model with stochastic volatility (TVP-SVAR) and sign restrictions, we identify a non-financial corporations (NFC) credit supply shock and an investment shock. Potential policy solutions to ensure a sound contribution of the financial sector to economic growth in the analyzed economies relate to the strong relationship identified between the two variables. From this perspective, the study is among the first to employ a robust dynamic framework for assessing the role of the financial sector in fostering sustainable economic growth in European emerging market economies.

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“…On the other hand, the Pacific Alliance (PA) is a regional integration initiative, which was announced in Lima (Peru) on April 28, 2011, through the Lima Declaration made up of four member countries: Chile, Colombia, Mexico, and Peru, four countries in the incorporation process, four associated countries, and more than 40 observer countries on four continents [7]. PA presents four main axes as vision being: more integrated, more global, more connected, and more citizen.…”

Section: Introductionmentioning

confidence: 99%

“…PA presents four main axes as vision being: more integrated, more global, more connected, and more citizen. The last vision englobes to achieve the SDGs and ensure that the benefits of the PA reach all citizens, contributing to overcoming inequality and poverty, and have a sustainable agenda with joint projects for the adaptation and mitigation to the effects of climate change and energy clean, among others [7].…”

Section: Introductionmentioning

confidence: 99%

A bibliometric analysis of the scientific production related to “zero hunger” as a sustainable development goal: trends of the pacific alliance towards 2030

et al. 2021

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Background In 2015, The United Nations (UN) established 17 Sustainable Development Goals (SDGs) by 2030. In Latin America, the Pacific Alliance is integrated by Chile, Colombia, Peru, and Mexico, which the scientific activity is focused on the scientific production from research and academic institutions. In this study, the main goal was to analyze the scientific production (2015–2019) in the Pacific Alliance related to “zero hunger” as SDG. The bibliometric analysis of the scientific literature was carried out using the Scopus database with search terms related to zero hunger and validated by Elsevier. We analyzed the annual production of original articles, productive journals, leading institutions, funding agencies, authors, and the most influential original. Results Our results showed that the Pacific Alliance produced 2215 (81.0%) original articles, which is the fraction of non-excluded outputs with an annual growth rate of 12.62%, Mexico was the leading country, Nutrición Hospitalaria was the most active journal, and The Universidad Autónoma de Mexico was the leading institution and CONACYT as the leading funding institution. Conclusion As conclusion, the scientific production of the Pacific Alliance is showing positive substantial changes, which reflects the main research themes related to zero hunger, such as food security, sustainable agriculture, and malnutrition to achieve this SDG by 2030.

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The role of credit supply shocks in pacific alliance countries: A TVP-VAR-SV approach

Cited by 10 publications

References 56 publications

Impact of Monetary Policy Shocks in the Peruvian Economy Over Time

Impact of Monetary Policy Shocks in the Peruvian Economy Over Time

Uncovering the Dynamic Relationship between Credit and Sustainable Economic Growth in Selected CEE Countries

A bibliometric analysis of the scientific production related to “zero hunger” as a sustainable development goal: trends of the pacific alliance towards 2030

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