Details about Gabriel Rodríguez

Phone:	+511-626-200 (4998)
Postal address:	Pontificia Universidad Católica del Perú Department of Economics 1801 Universitaria Avenue Lima 32 Lima, Peru Telephone: +511 626 2000 - 4998 Fax: +511 626 2874 E-Mail: gabriel.rodriguez@pucp.
Workplace:	Departamento de Economía (Department of Economics), Pontificia Universidad Católica del Perú (Catholic Pontifical University of Peru), (more information at EDIRC)

Access statistics for papers by Gabriel Rodríguez.

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Working Papers

2024

External Shocks and Economic Fluctuations in Peru: Empirical Evidence using Mixture Innovation TVP-VAR-SV Models
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú
Modeling the trend, persistence, and volatility of inflation in Pacific Alliance countries: an empirical application using a model with inflation bands
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú
Regime-Switching, Stochastic Volatility and Impacts of Monetary Policy Shocks on Macroeconomic Fluctuations in Peru
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú View citations (1)
Regime-Switching, Stochastic Volatility, Fiscal Policy Shocks and Macroeconomic Fluctuations in Peru
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú
Time-Varying Effects of Financial Uncertainty Shocks on Macroeconomic Fluctuations in Peru
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú

2023

Evolution over time of the effects of fiscal shocks in the peruvian economy: empirical application using TVP-VAR-SV models
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú
Jane Haldimand Marcet: Impact of Monetary Policy Shocks in the Peruvian Economy Over Time
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú View citations (1)

2019

Peru's Regional Growth and Convergence in 1979-2017: An Empirical Spatial Panel Data Analysis
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú View citations (1)
Presidential Approval in Peru: An Empirical Analysis Using a Fractionally Cointegrated VAR
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú
See also Journal Article Presidential approval in Peru: an empirical analysis using a fractionally cointegrated VAR, Economic Change and Restructuring, Springer (2022) (2022)

2018

The Role of Loan Supply Shocks in Pacific Alliance Countries: A TVP-VAR-SV Approach
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú View citations (1)

2017

Empirical Modeling of Latin American Stock and Forex Markets Returns and Volatility using Markov-Switching GARCH Models
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú View citations (2)
Estimation of the Sovereign Yield Curve of Peru: The Role of Macroeconomic and Latent Factors
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú

2016

An Empirical Application of a Random Level Shifts Model with Time-Varying Probability and Mean Reversion to the Volatility of Latin-American Forex Markets Returns [Una aplicación empírica de un modelo de cambios de nivel aleatorios con probabilidades cambiantes y reversión a la media a la volatilidad de los retornos cambiarios en América Latina]
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú View citations (2)
Asymmetries in Volatility: An Empirical Study for the Peruvian Stock and Forex Markets
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú
See also Journal Article Asymmetries in Volatility: An Empirical Study for the Peruvian Stock and Forex Markets, Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd. (2019) View citations (1) (2019)
Modeling Latin-American Stock and Forex Markets Volatility: Empirical Application of a Model with Random Level Shifts and Genuine Long Memory [Modelando la volatilidad de los mercados bursátiles y cambiarios en América Latina: Aplicación empírica de un modelo de cambios de nivel aleatorios y larga memoria genuina]
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú
Modelling the Volatility of Commodities Prices using a Stochastic Volatility Model with Random Level Shifts
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú
See also Journal Article Modelling the volatility of commodities prices using a stochastic volatility model with random level shifts, Review of World Economics (Weltwirtschaftliches Archiv), Springer (2017) (2017)

2015

A Stochastic Volatility Model with GH Skew Student’s t-Distribution: Application to Latin-American Stock Returns
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú View citations (2)
An Application of a Short Memory Model with Random Level Shifts to the Volatility of Latin American Stock Market Returns
Working Papers, Banco Central de Reserva del Perú View citations (2)
Also in Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú (2014) View citations (1)
See also Journal Article Application of a Short Memory Model With Random Level Shifts to the Volatility of Latin American Stock Market Returns, Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile. (2015) View citations (2) (2015)
Data-Dependent Methods for the Lag Length Selection in Unit Root Tests with Structural Change
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú View citations (1)
Modeling Latin-American Stock Markets Volatility: Varying Probabilities and Mean Reversion in a Random Level Shifts Model
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú
Residuals-based Tests for Cointegration with GLS Detrended Data
Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics
Also in Working Papers, University of Ottawa, Department of Economics (2000) View citations (30)
Univariate Autoregressive Conditional Heteroskedasticity Models: An Application to the Peruvian Stock Market Returns
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú View citations (1)

2014

An Application of a Random Level Shifts Model to the Volatility of Peruvian Stock and Exchange Rates Returns
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú View citations (2)
See also Journal Article An application of a random level shifts model to the volatility of Peruvian stock and exchange rate returns, Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals (2016) (2016)
Convergencia en las Regiones del Perú: ¿Inclusión o Exclusión en el Crecimiento de la Economía Peruana (1970-2010)?
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú
Distinguishing between True and Spurious Long Memory in the Volatility of Stock Market Returns in Latin America
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú View citations (4)
Driving Economic Fluctuations in Peru: The Role of the Terms of Trade
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú View citations (1)
See also Journal Article Driving economic fluctuations in Peru: the role of the terms of trade, Empirical Economics, Springer (2018) View citations (18) (2018)
Extreme Value Theory: An Application to the Peruvian Stock Market Returns
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú
Stochastic Volatility in Peruvian Stock Market and Exchange Rate Returns: a Bayesian Approximation
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú View citations (3)
See also Journal Article Stochastic Volatility in the Peruvian Stock Market and Exchange Rate Returns: A Bayesian Approximation, Journal of Emerging Market Finance, Institute for Financial Management and Research (2018) (2018)
The New Keynesian Framework for a Small Open Economy with Structural Breaks: Empirical Evidence from Peru
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú
See also Journal Article The New Keynesian framework for a small open economy with structural breaks: Empirical evidence from Peru, Structural Change and Economic Dynamics, Elsevier (2018) (2018)
Volatility of Stock Market and Exchange Rate Returns in Peru: Long Memory or Short Memory with Level Shifts?
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú
See also Journal Article Volatility of stock market and exchange rate returns in Peru: Long memory or short memory with level shifts?, International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd (2016) (2016)

2013

A Comparative Note About Estimation of the Fractional Parameter under Additive Outliers
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú
A Note on the Size of the ADF Test with Additive Outliers and Fractional Errors. A Reapraisal about the (Non) Stationarity of the Latin-American Inflation Series
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú
See also Journal Article A Note on the Size of the ADF Test with Additive Outliers and Fractional Errors. A Reappraisal about the (Non)Stationarity of the Latin-American Inflation Series, Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú (2014) (2014)
A comparison between Tau-d and the procedure TRAMO-SEATS is also included
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú
Do Labor Reforms in Spain have an Effect on the Equilibrium Unemployment Rate?
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú
See also Journal Article Do Labor Reforms in Spain Have an Effect on the Equilibrium Unemployment Rate?, International Journal of Social Science Studies, Redfame publishing (2014) View citations (1) (2014)
Growth of the Peruvian Economy and Convergence in the Regions of Peru: 1970-2010
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú
Single-equation tests for Cointegration with GLS Detrended Data
Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics
Trend-cycle decomposition for Peruvian GDP: Application of an alternative method
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú View citations (1)
See also Journal Article Trend-cycle decomposition for Peruvian GDP: application of an alternative method, Latin American Economic Review, Springer (2014) View citations (1) (2014)

2012

EXPLAINING THE DETERMINANTS OF THE FREQUENCY OF EXCHANGE RATE INTERVENTIONS IN PERU USING COUNT MODELS
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú
See also Journal Article Explaining the Determinants of the Frequency of Exchange Rate Interventions in Peru Using Count Models, Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot GmbH, Berlin (2015) (2015)
Explaining the Transition Probabilities in the Peruvian Labor Market
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú View citations (2)
INFLATION EXPECTATIONS FORMATION IN THE PRESENCE OF POLICY SHIFTS AND STRUCTURAL BREAKS: AN EXPERIMENTAL ANALYSIS
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú
See also Journal Article Inflation expectations formation in the presence of policy shifts and structural breaks: An experimental analysis, Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier (2013) View citations (4) (2013)
Residual test for cointegration with GLS detrended data
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú

2011

A FACTORIAL DECOMPOSITION OF INFLATION IN PERU, AN ALTERNATIVE MEASURE OF CORE INFLATION
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú
See also Journal Article A factorial decomposition of inflation in Peru: an alternative measure of core inflation, Applied Economics Letters, Taylor & Francis Journals (2012) View citations (2) (2012)
CONVERGENCE IN THE CANADIAN PROVINCES: EVIDENCE USING UNEMPLOYMENT RATES
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú View citations (1)
DOES THE EXCHANGE RATE PASS-THROUGH INTO PRICES CHANGE WHEN INFLATION TARGETING IS ADOPTED? THE PERUVIAN CASE STUDY BETWEEN 1994 AND 2007
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú View citations (2)
See also Journal Article Does the exchange rate pass-through into prices change when inflation targeting is adopted? The Peruvian case study between 1994 and 2007, Journal of Macroeconomics, Elsevier (2012) View citations (21) (2012)
ESTIMATION OF A TIME VARYING NATURAL INTEREST RATE FOR PERU
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú View citations (2)
Also in Working Papers, Banco Central de Reserva del Perú (2009) View citations (5)
Impacto de Expectativas Políticas en los Retornos del Indice General de la Bolsa de Valores de Lima
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú
See also Journal Article Impacto de expectativas políticas en los retornos del Índice General de la Bolsa de Valores de Lima, Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú (2012) (2012)
Some Stylized Facts of Returns in the Foreign Exchange and Stock Markets in Peru
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú View citations (10)
Also in Working Papers, Banco Central de Reserva del Perú (2010) View citations (1)
See also Journal Article Some stylized facts of return in the foreign exchange and stock markets in Peru, Studies in Economics and Finance, Emerald Group Publishing Limited (2013) View citations (16) (2013)
UNDERSTANDING THE FUNCTIONAL CENTRAL LIMIT THEOREMS WITH SOME APPLICATIONS TO UNIT ROOT TESTING WITH STRUCTURAL CHANGE
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú View citations (2)
See also Journal Article Understanding the functional central limit theorems with some applications to unit root testing with structural change, Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú (2013) (2013)

2010

Application of three non-linear econometric approaches to identify business cycles in Peru
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú View citations (2)
See also Journal Article Application of Three Non-Linear Econometric Approaches to Identify Business Cycles in Peru, OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys (2010) View citations (2) (2010)
Descomposición Histórica de la Inflación en Perú. Distinguiendo entre choques de demanda y choques de oferta
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú
See also Journal Article Descomposición histórica de la inflación en Perú. Distinguiendo entre choques de demanda y choques de oferta, Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú (2011) (2011)
Is there a link between unemployment and criminality in the us economy? Further evidence
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú
Persistence of unemployment in the canadian provinces
Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú View citations (4)
See also Journal Article Persistence of Unemployment in the Canadian Provinces, International Regional Science Review (2011) View citations (5) (2011)

2009

Estimating Output Gap, Core Inflation, and the NAIRU for Peru
Working Papers, Banco Central de Reserva del Perú View citations (1)
Foreign Exchange Intervention and Exchange Rate Volatility in Peru
Working Papers, Banco Central de Reserva del Perú View citations (8)
See also Journal Article Foreign exchange intervention and exchange rate volatility in Peru, Applied Economics Letters, Taylor & Francis Journals (2010) View citations (34) (2010)
Have European Unemployment Rates Converged?
Working Papers, Banco Central de Reserva del Perú View citations (3)
Using A Forward-Looking Phillips Curve to Estimate the Output Gap in Peru
Working Papers, Banco Central de Reserva del Perú
See also Journal Article Using A Forward-Looking Phillips Curve to Estimate the Output Gap in Peru, Review of Applied Economics, Lincoln University, Department of Financial and Business Systems (2010) (2010)

2007

Application of Three Alternative Approaches to Identify Business Cycles in Peru
Working Papers, Banco Central de Reserva del Perú
Efficiency of the Monetary Policy and Stability of Central Bank Preferences. Empirical Evidence for Peru
Working Papers, Banco Central de Reserva del Perú View citations (1)
Using Markov-Switching Models to Identify the Link between Unemployment and Criminality
Working Papers, University of Ottawa, Department of Economics View citations (7)
Why U.S. Money does not Cause U.S. Output, but does Cause Hong Kong Output
Carleton Economic Papers, Carleton University, Department of Economics View citations (3)
Also in Working Papers, University of Ottawa, Department of Economics (2002)
See also Journal Article Why U.S. money does not cause U.S. output, but does cause Hong Kong output, Journal of International Money and Finance, Elsevier (2007) View citations (2) (2007)

2006

Finite Sample Behaviour of the Level Shift Model using Quasi-Differenced Data
Working Papers, University of Ottawa, Department of Economics View citations (3)
Stability of Central Bank Preferences, Macroeconomic Shocks, and Efficiency of the Monetary Policy. Empirical Evidence for Canada
Working Papers, University of Ottawa, Department of Economics View citations (3)
Unit Root Tests and Structural Change when the Initial Observation is Drawn from its unconditional Distribution
Working Papers, University of Ottawa, Department of Economics View citations (5)
See also Journal Article Unit root tests and structural change when the initial observation is drawn from its unconditional distribution, Econometrics Journal, Royal Economic Society (2006) View citations (2) (2006)

2005

Human activities and global warming: a cointegration analysis
MPRA Paper, University Library of Munich, Germany View citations (14)
Also in Working Papers, University of Ottawa, Department of Economics (2003)

2003

Are Canadian Regional Business Cycles All Alike?
Working Papers, University of Ottawa, Department of Economics
Evaluating Time Series Models in Short and Long-Term Forecasting of Canadian Air Passenger Data
Working Papers, University of Ottawa, Department of Economics
Identifying Canadian Regional Business Cycles using the Friedmand Plucking Model
Working Papers, University of Ottawa, Department of Economics
Identifying Permanent and Transitory Components in Latin-American Real Exchange Rates
Working Papers, University of Ottawa, Department of Economics
Indirect Patent Citations
Working Papers, University of Ottawa, Department of Economics View citations (12)
See also Journal Article Indirect patent citations, Scientometrics, Springer (2006) View citations (21) (2006)
The Role of the Interprovincial Transfers in the B-Convergence Process. Further Empirical Evidence for CanadaAbstract: Based on the approach of Timljonavich and Vogelsang (2002), I present empirical evidence of the role of the federal transfers on the B-convergence process in Canadian provinces. Using information on personal income for the period 1926-1999, the principal conclusion is that the interprovincial transfers were not determinant or decisive to the attainment of deterministic convergence in the Canadian provinces. Their role have been to accelerate the convergence process, particularly in poorer provinces
Working Papers, University of Ottawa, Department of Economics

2001

Analyzing the Effects of Labor Standards on U.S. Export Performance: A Time Series Approach With Structural Change
Working Papers, University of Ottawa, Department of Economics View citations (1)
See also Journal Article Analysing the effects of labour standards on US export performance. A time series approach with structural change, Applied Economics, Taylor & Francis Journals (2003) View citations (10) (2003)
Estimation of the Taylor Rule for Canada Under Multiple Structural Changes
Working Papers, University of Ottawa, Department of Economics View citations (5)

2000

Seraching for Additive Outliers in Nonstationary Time Series
Working Papers, University of Ottawa, Department of Economics View citations (1)
See also Journal Article SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES, Journal of Time Series Analysis, Wiley Blackwell (2003) View citations (54) (2003)

1998

GLS Detrending, Efficient Unit Root Tests and Structural Change
Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (8)
See also Journal Article GLS detrending, efficient unit root tests and structural change, Journal of Econometrics, Elsevier (2003) View citations (108) (2003)

Journal Articles

2024

A changepoint analysis of exchange rate and commodity price risks for Latin American stock markets
International Review of Economics & Finance, 2024, 89, (PA), 1385-1403
See also Working Paper A changepoint analysis of exchange rate and commodity price risks for Latin American stock markets, Graz Economics Papers (2021) (2021)
Approximate Bayesian Estimation of Stochastic Volatility in Mean Models Using Hidden Markov Models: Empirical Evidence from Emerging and Developed Markets
Computational Economics, 2024, 64, (3), 1775-1801
Evolution of the exchange rate pass-through into prices in Peru: An empirical application using TVP-VAR-SV models
Journal of International Money and Finance, 2024, 142, (C) View citations (1)
See also Working Paper Evolution of the Exchange Rate Pass-Throught into Prices in Peru: An Empirical Application Using TVP-VAR-SV Models, Documentos de Trabajo / Working Papers (2022) View citations (1) (2022)
Impact of monetary policy shocks in the Peruvian economy over time
Structural Change and Economic Dynamics, 2024, 71, (C), 270-288
Time-Varying Effects of External Shocks on Macroeconomic Fluctuations in Peru: An Empirical Application using TVP-VAR-SV Models
Open Economies Review, 2024, 35, (5), 1015-1050 View citations (1)
See also Working Paper Time-Varying Effects of External Shocks on Macroeconomic Fluctuations in Peru: An Empirical Application using TVP-VAR- SV Models, Documentos de Trabajo / Working Papers (2022) View citations (5) (2022)

2023

Does the Central Bank of Peru respond to exchange rate movements? A Bayesian estimation of a New Keynesian DSGE model with FX interventions
The North American Journal of Economics and Finance, 2023, 68, (C) View citations (3)
See also Working Paper Does the Central Bank of Peru Respond to Exchange Rate Movements? A Bayesian Estimation of a New Keynesian DSGE Model with FX Interventions, Documentos de Trabajo / Working Papers (2021) View citations (2) (2021)
Effects of external shocks on macroeconomic fluctuations in Pacific Alliance countries
Economic Modelling, 2023, 124, (C) View citations (11)
Evolution of the effects of mineral commodity prices on fiscal fluctuations: empirical evidence from TVP-VAR-SV models for Peru
Review of World Economics (Weltwirtschaftliches Archiv), 2023, 159, (1), 153-184
Time changing effects of external shocks on macroeconomic fluctuations in Peru: empirical application using regime-switching VAR models with stochastic volatility
Review of World Economics (Weltwirtschaftliches Archiv), 2023, 159, (2), 505-544 View citations (8)
See also Working Paper Time Changing Effects of External Shocks on Macroeconomic Fluctuations in Peru: Empirical Application Using Regime-Switching VAR Models with Stochastic Volatility, Documentos de Trabajo / Working Papers (2022) View citations (1) (2022)
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, 2023, 64, (C), 314-332 View citations (2)
See also Working Paper 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) View citations (4) (2020)

2022

Evolution of Monetary Policy in Peru: An Empirical Application Using a Mixture Innovation TVP-VAR-SV Model*
(Metas de Inflación en Una Economía Dolarizada: La Experencia Del Perú)
CESifo Economic Studies, 2022, 68, (1), 98-126 View citations (10)
See also Working Paper Evolution of Monetary Policy in Peru: An Empirical Application using a Mixture Innovation TVP-VAR-SV Model, Documentos de Trabajo / Working Papers (2020) (2020)
Presidential approval in Peru: an empirical analysis using a fractionally cointegrated VAR
Economic Change and Restructuring, 2022, 55, (3), 1973-2010
See also Working Paper Presidential Approval in Peru: An Empirical Analysis Using a Fractionally Cointegrated VAR, Documentos de Trabajo / Working Papers (2019) (2019)

2021

Stochastic Volatility in Mean: Empirical evidence from Latin-American stock markets using Hamiltonian Monte Carlo and Riemann Manifold HMC methods
The Quarterly Review of Economics and Finance, 2021, 80, (C), 272-286 View citations (2)
The effects of corruption on growth, human development and natural resources sector: empirical evidence from a Bayesian panel VAR for Latin American and Nordic countries
Journal of Economic Studies, 2021, 49, (2), 346-363 View citations (1)

2020

Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models
The North American Journal of Economics and Finance, 2020, 52, (C) View citations (2)
The role of credit supply shocks in pacific alliance countries: A TVP-VAR-SV approach
The North American Journal of Economics and Finance, 2020, 52, (C) View citations (3)

2019

An empirical note about estimation and forecasting Latin American Forex returns volatility: the role of long memory and random level shifts components
Portuguese Economic Journal, 2019, 18, (2), 107-123
Asymmetries in Volatility: An Empirical Study for the Peruvian Stock and Forex Markets
Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2019, 22, (01), 1-18 View citations (1)
See also Working Paper Asymmetries in Volatility: An Empirical Study for the Peruvian Stock and Forex Markets, Documentos de Trabajo / Working Papers (2016) (2016)
Estimation of Peru’s sovereign yield curve: the role of macroeconomic and latent factors
Journal of Economic Studies, 2019, 46, (3), 533-563

2018

An empirical application of a stochastic volatility model with GH skew Student's t-distribution to the volatility of Latin-American stock returns
The Quarterly Review of Economics and Finance, 2018, 69, (C), 155-173 View citations (8)
Driving economic fluctuations in Peru: the role of the terms of trade
Empirical Economics, 2018, 55, (3), 1089-1119 View citations (18)
See also Working Paper Driving Economic Fluctuations in Peru: The Role of the Terms of Trade, Documentos de Trabajo / Working Papers (2014) View citations (1) (2014)
Stochastic Volatility in the Peruvian Stock Market and Exchange Rate Returns: A Bayesian Approximation
Journal of Emerging Market Finance, 2018, 17, (3), 354-385
See also Working Paper Stochastic Volatility in Peruvian Stock Market and Exchange Rate Returns: a Bayesian Approximation, Documentos de Trabajo / Working Papers (2014) View citations (3) (2014)
The New Keynesian framework for a small open economy with structural breaks: Empirical evidence from Peru
Structural Change and Economic Dynamics, 2018, 46, (C), 13-25
See also Working Paper The New Keynesian Framework for a Small Open Economy with Structural Breaks: Empirical Evidence from Peru, Documentos de Trabajo / Working Papers (2014) (2014)

2017

Extreme Value Theory: An Application to the Peruvian Stock Market Returns || Teoría de valores extremos: una aplicación a los retornos bursátiles peruanos
Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, 2017, 23, (1), 48-74
Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory
The North American Journal of Economics and Finance, 2017, 42, (C), 393-420 View citations (4)
Modelling the volatility of commodities prices using a stochastic volatility model with random level shifts
Review of World Economics (Weltwirtschaftliches Archiv), 2017, 153, (1), 71-103
See also Working Paper Modelling the Volatility of Commodities Prices using a Stochastic Volatility Model with Random Level Shifts, Documentos de Trabajo / Working Papers (2016) (2016)
Selecting between Autoregressive Conditional Heteroskedasticity Models: An Empirical Application to the Volatility of Stock Returns in Peru
Revista de Analisis Economico – Economic Analysis Review, 2017, 32, (1), 69-94 View citations (2)
Selecting the Lag Length for the M GLS Unit Root Tests with Structural Change: A Warning Note for Practitioners Based on Simulations
Econometrics, 2017, 5, (2), 1-10

2016

An application of a random level shifts model to the volatility of Peruvian stock and exchange rate returns
Macroeconomics and Finance in Emerging Market Economies, 2016, 9, (1), 34-55
See also Working Paper An Application of a Random Level Shifts Model to the Volatility of Peruvian Stock and Exchange Rates Returns, Documentos de Trabajo / Working Papers (2014) View citations (2) (2014)
Residuals‐based tests for cointegration with generalized least‐squares detrended data
Econometrics Journal, 2016, 19, (1), 84-111 View citations (5)
Volatility of stock market and exchange rate returns in Peru: Long memory or short memory with level shifts?
International Journal of Monetary Economics and Finance, 2016, 9, (1), 45-66
See also Working Paper Volatility of Stock Market and Exchange Rate Returns in Peru: Long Memory or Short Memory with Level Shifts?, Documentos de Trabajo / Working Papers (2014) (2014)

2015

Application of a Short Memory Model With Random Level Shifts to the Volatility of Latin American Stock Market Returns
Latin American Journal of Economics-formerly Cuadernos de Economía, 2015, 52, (2), 185-211 View citations (2)
See also Working Paper An Application of a Short Memory Model with Random Level Shifts to the Volatility of Latin American Stock Market Returns, Working Papers (2015) View citations (2) (2015)
Explaining the Determinants of the Frequency of Exchange Rate Interventions in Peru Using Count Models
Applied Economics Quarterly (formerly: Konjunkturpolitik), 2015, 61, (3), 261-292
See also Working Paper EXPLAINING THE DETERMINANTS OF THE FREQUENCY OF EXCHANGE RATE INTERVENTIONS IN PERU USING COUNT MODELS, Documentos de Trabajo / Working Papers (2012) (2012)
Structural Breaks and Convergence in the Regions of Peru: 1970–2010
Review of Development Economics, 2015, 19, (2), 346-357 View citations (2)
Structural breaks and labor market disparities in the Canadian provinces
Journal of Economic Studies, 2015, 42, (2), 322-342 View citations (2)

2014

A Note on the Size of the ADF Test with Additive Outliers and Fractional Errors. A Reappraisal about the (Non)Stationarity of the Latin-American Inflation Series
Revista Economía, 2014, 37, (73), 113-132
See also Working Paper A Note on the Size of the ADF Test with Additive Outliers and Fractional Errors. A Reapraisal about the (Non) Stationarity of the Latin-American Inflation Series, Documentos de Trabajo / Working Papers (2013) (2013)
Do Labor Reforms in Spain Have an Effect on the Equilibrium Unemployment Rate?
International Journal of Social Science Studies, 2014, 2, (1), 105-120 View citations (1)
See also Working Paper Do Labor Reforms in Spain have an Effect on the Equilibrium Unemployment Rate?, Documentos de Trabajo / Working Papers (2013) (2013)
Trend-cycle decomposition for Peruvian GDP: application of an alternative method
Latin American Economic Review, 2014, 23, (1), 1-44 View citations (1)
See also Working Paper Trend-cycle decomposition for Peruvian GDP: Application of an alternative method, Documentos de Trabajo / Working Papers (2013) View citations (1) (2013)

2013

Inflation expectations formation in the presence of policy shifts and structural breaks: An experimental analysis
Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), 2013, 44, (C), 59-67 View citations (4)
See also Working Paper INFLATION EXPECTATIONS FORMATION IN THE PRESENCE OF POLICY SHIFTS AND STRUCTURAL BREAKS: AN EXPERIMENTAL ANALYSIS, Documentos de Trabajo / Working Papers (2012) (2012)
Some stylized facts of return in the foreign exchange and stock markets in Peru
Studies in Economics and Finance, 2013, 30, (2), 139-158 View citations (16)
See also Working Paper Some Stylized Facts of Returns in the Foreign Exchange and Stock Markets in Peru, Documentos de Trabajo / Working Papers (2011) View citations (10) (2011)
Understanding the functional central limit theorems with some applications to unit root testing with structural change
Revista Economía, 2013, 36, (71), 107-149
See also Working Paper UNDERSTANDING THE FUNCTIONAL CENTRAL LIMIT THEOREMS WITH SOME APPLICATIONS TO UNIT ROOT TESTING WITH STRUCTURAL CHANGE, Documentos de Trabajo / Working Papers (2011) View citations (2) (2011)

2012

A factorial decomposition of inflation in Peru: an alternative measure of core inflation
Applied Economics Letters, 2012, 19, (14), 1331-1334 View citations (2)
See also Working Paper A FACTORIAL DECOMPOSITION OF INFLATION IN PERU, AN ALTERNATIVE MEASURE OF CORE INFLATION, Documentos de Trabajo / Working Papers (2011) (2011)
Does the exchange rate pass-through into prices change when inflation targeting is adopted? The Peruvian case study between 1994 and 2007
Journal of Macroeconomics, 2012, 34, (4), 1154-1166 View citations (21)
See also Working Paper DOES THE EXCHANGE RATE PASS-THROUGH INTO PRICES CHANGE WHEN INFLATION TARGETING IS ADOPTED? THE PERUVIAN CASE STUDY BETWEEN 1994 AND 2007, Documentos de Trabajo / Working Papers (2011) View citations (2) (2011)
GLS para eliminar los componentes determinísticos, estadísticos de raíz unitaria eficientes y cambio estructural
Revista Economía, 2012, 35, (69), 174-203 View citations (1)
Impacto de expectativas políticas en los retornos del Índice General de la Bolsa de Valores de Lima
Revista Economía, 2012, 35, (70), 190-223
See also Working Paper Impacto de Expectativas Políticas en los Retornos del Indice General de la Bolsa de Valores de Lima, Documentos de Trabajo / Working Papers (2011) (2011)
The unemployment rate, unemployment volatility, and crime
International Journal of Social Economics, 2012, 39, (6), 440-448 View citations (3)

2011

Descomposición histórica de la inflación en Perú. Distinguiendo entre choques de demanda y choques de oferta
Revista Economía, 2011, 34, (67), 126-162
See also Working Paper Descomposición Histórica de la Inflación en Perú. Distinguiendo entre choques de demanda y choques de oferta, Documentos de Trabajo / Working Papers (2010) (2010)
Persistence of Unemployment in the Canadian Provinces
International Regional Science Review, 2011, 34, (4), 438-458 View citations (5)
See also Working Paper Persistence of unemployment in the canadian provinces, Documentos de Trabajo / Working Papers (2010) View citations (4) (2010)
Volatilidad financiera y rentabilidades cambiarias y bursátiles en el Perú
Revista Moneda, 2011, (147), 24-27

2010

Application of Three Non-Linear Econometric Approaches to Identify Business Cycles in Peru
OECD Journal: Journal of Business Cycle Measurement and Analysis, 2010, 2010, (2), 1-25 View citations (2)
See also Working Paper Application of three non-linear econometric approaches to identify business cycles in Peru, Documentos de Trabajo / Working Papers (2010) View citations (2) (2010)
ESTIMATING OUTPUT GAP, CORE INFLATION, AND THE NAIRU FOR PERU, 1979-2007
Applied Econometrics and International Development, 2010, 10, (1)
Foreign exchange intervention and exchange rate volatility in Peru
Applied Economics Letters, 2010, 17, (15), 1485-1491 View citations (34)
See also Working Paper Foreign Exchange Intervention and Exchange Rate Volatility in Peru, Working Papers (2009) View citations (8) (2009)
Using A Forward-Looking Phillips Curve to Estimate the Output Gap in Peru
Review of Applied Economics, 2010, 06, (01-2), 13
See also Working Paper Using A Forward-Looking Phillips Curve to Estimate the Output Gap in Peru, Working Papers (2009) (2009)

2009

Intervención en el mercado cambiario y volatilidad del tipo de cambio en el Perú
Monetaria, 2009, XXXII, (1), 47-61

2008

Eficiencia de la política monetaria y la estabilidad de las preferencias del Banco Central. Evidencia empírica para el Perú
Revista Estudios Económicos, 2008, (15), 9-20 View citations (1)

2007

On the value of information in the presence of moral hazard
Review of Economic Design, 2007, 10, (4), 341-361
The role of permanent and transitory components in the fluctuations of Latin-American real exchange rates
Applied Economics, 2007, 39, (21), 2713-2722 View citations (2)
Why U.S. money does not cause U.S. output, but does cause Hong Kong output
Journal of International Money and Finance, 2007, 26, (7), 1174-1186 View citations (2)
See also Working Paper Why U.S. Money does not Cause U.S. Output, but does Cause Hong Kong Output, Carleton Economic Papers (2007) View citations (3) (2007)

2006

Indirect patent citations
Scientometrics, 2006, 67, (3), 437-465 View citations (21)
See also Working Paper Indirect Patent Citations, Working Papers (2003) View citations (12) (2003)
The role of the interprovincial transfers in theβ‐convergence process
Journal of Economic Studies, 2006, 33, (1), 12-29
Unit root tests and structural change when the initial observation is drawn from its unconditional distribution
Econometrics Journal, 2006, 9, (2), 225-251 View citations (2)
See also Working Paper Unit Root Tests and Structural Change when the Initial Observation is Drawn from its unconditional Distribution, Working Papers (2006) View citations (5) (2006)

2005

Finite sample effects of additive outliers on the Granger-causality test with an application to money growth and inflation in Peru
Applied Economics Letters, 2005, 12, (13), 841-844 View citations (1)
Modeling nonlinearities and asymmetries in quarterly revenues of the US telecommunications industry
Structural Change and Economic Dynamics, 2005, 16, (1), 137-158
The Economic Impact of Professional Teams on Monthly Hotel Occupancy Rates of Canadian Cities
Journal of Sports Economics, 2005, 6, (3), 314-324 View citations (19)

2004

An empirical note about additive outliers and nonstationarity in Latin-American inflation series
Empirical Economics, 2004, 29, (2), 361-372 View citations (9)
Similitudes and Discrepancies in Post-Keynesian and Marxist Theories of Investment: A Theoretical and Empirical Investigation
International Review of Applied Economics, 2004, 18, (2), 127-149 View citations (61)

2003

Analysing the effects of labour standards on US export performance. A time series approach with structural change
Applied Economics, 2003, 35, (9), 1043-1051 View citations (10)
See also Working Paper Analyzing the Effects of Labor Standards on U.S. Export Performance: A Time Series Approach With Structural Change, Working Papers (2001) View citations (1) (2001)
GLS detrending, efficient unit root tests and structural change
Journal of Econometrics, 2003, 115, (1), 1-27 View citations (108)
See also Working Paper GLS Detrending, Efficient Unit Root Tests and Structural Change, Cahiers de recherche (1998) View citations (8) (1998)
SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES
Journal of Time Series Analysis, 2003, 24, (2), 193-220 View citations (54)
See also Working Paper Seraching for Additive Outliers in Nonstationary Time Series, Working Papers (2000) View citations (1) (2000)

1993

Demanda de dinero y estacionalidad en el mercado monetario
Revista Economía, 1993, (32), 141-157

Books

2011

Comportamiento de las Tasas de desempleo regionales en España
Libros no PUCP / Books other publishers, Otras editoriales / Other publishers

1993

Consumo de Alimentos en Sectores Populares
Libros no PUCP / Books other publishers, Otras editoriales / Other publishers

Chapters

2012

Movilidad en los mercados laborales del Perú: 2007-2011
Chapter 7 in EMPLEO Y PROTECCIÓN SOCIAL, 2012, pp 239-269

2009

Una nota empírica sobre outliers aditivos y no estacionariedad en series de inflación en América Latina
Chapter 4 in Desarrollo económico y bienestar. Homenaje a Máximo Vega-Centeno, 2009, pp 109-124