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Details about Gabriel Rodríguez

E-mail:
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.

Last updated 2023-08-01. Update your information in the RePEc Author Service.

Short-id: pro411


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Working Papers

2022

  1. Evolution of the Exchange Rate Pass-Throught into Prices in Peru: An Empirical Application Using TVP-VAR-SV Models
    Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú Downloads
  2. 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, Departamento de Economía - Pontificia Universidad Católica del Perú Downloads
    See also Journal Article in Review of World Economics (Weltwirtschaftliches Archiv) (2023)
  3. Time Evolution of External Shocks on Macroeconomic Fluctuations in Pacific Alliance Countries: Empirical Application using TVP-VAR-SV Models
    Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú Downloads View citations (6)
  4. Time-Varying Effects of External Shocks on Macroeconomic Fluctuations in Peru: An Empirical Application using TVP-VAR- SV Models
    Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú Downloads View citations (1)

2021

  1. A changepoint analysis of exchange rate and commodity price risks for Latin American stock markets
    Graz Economics Papers, University of Graz, Department of Economics Downloads
  2. Approximate Bayesian Estimation of Stochastic Volatility in Mean Models using Hidden Markov Models: Empirical Evidence from Stock Latin American Markets
    Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú Downloads
  3. 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, Departamento de Economía - Pontificia Universidad Católica del Perú Downloads

2020

  1. Evolution of Monetary Policy in Peru: An Empirical Application Using a Mixture Innovation TVP-VAR-SV Model
    Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú Downloads
    See also Journal Article in CESifo Economic Studies (2022)
  2. Macroeconomic Effects of Loan Supply Shocks: Empirical Evidence for Peru
    Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú Downloads
  3. Modeling the Volatility of Returns on Commodities: An Application and Empirical Comparison of GARCH and SV Models
    Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú Downloads
  4. Stochastic Volatility in Mean: Empirical Evidence from Stock Latin American Markets
    Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú Downloads
  5. 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, Departamento de Economía - Pontificia Universidad Católica del Perú Downloads View citations (4)
    See also Journal Article in Structural Change and Economic Dynamics (2023)

2019

  1. 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 Downloads View citations (1)
  2. 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 Downloads
    See also Journal Article in Economic Change and Restructuring (2022)

2018

  1. 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 Downloads View citations (1)

2017

  1. 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 Downloads View citations (2)
  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 Downloads

2016

  1. 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 Downloads View citations (2)
  2. Asymmetries in Volatility: An Empirical Study for the Peruvian Stock and Forex Market [Asimetrías en volatilidad: Un estudio empírico para los mercados bursátil y cambiario del Perú]
    Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú Downloads
  3. 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 Downloads
  4. Modelling the Volatility of Commodities Prices using a Stochastic Volatility Model with Random Level Shifts [Modelando la volatilidad de los precios de los commodities utilizando un modelo de volatilidad estocástica con cambios de nivel aleatorios]
    Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú Downloads

2015

  1. 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 Downloads View citations (2)
  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 Downloads View citations (2)
    Also in Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú (2014) Downloads View citations (1)

    See also Journal Article in Latin American Journal of Economics-formerly Cuadernos de Economía (2015)
  3. 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 Downloads View citations (1)
  4. 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 Downloads
  5. Residuals-based Tests for Cointegration with GLS Detrended Data
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics Downloads
    Also in Working Papers, University of Ottawa, Department of Economics (2000) View citations (30)
  6. 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 Downloads View citations (1)

2014

  1. 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 Downloads View citations (2)
    See also Journal Article in Macroeconomics and Finance in Emerging Market Economies (2016)
  2. 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 Downloads
  3. 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 Downloads View citations (4)
  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 Downloads View citations (1)
    See also Journal Article in Empirical Economics (2018)
  5. Extreme Value Theory: An Application to the Peruvian Stock Market Returns
    Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú Downloads
  6. 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 Downloads View citations (3)
    See also Journal Article in Journal of Emerging Market Finance (2018)
  7. 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 Downloads
    See also Journal Article in Structural Change and Economic Dynamics (2018)
  8. 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 Downloads
    See also Journal Article in International Journal of Monetary Economics and Finance (2016)

2013

  1. 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 Downloads
  2. 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 Downloads
    See also Journal Article in Revista Economía (2014)
  3. 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 Downloads
  4. 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 Downloads
    See also Journal Article in International Journal of Social Science Studies (2014)
  5. 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 Downloads
  6. Single-equation tests for Cointegration with GLS Detrended Data
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics Downloads
  7. Trend-cycle decomposition for Peruvian GDP: Application of an alternative method
    Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú Downloads View citations (1)
    See also Journal Article in Latin American Economic Review (2014)

2012

  1. 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 Downloads
    See also Journal Article in Applied Economics Quarterly (formerly: Konjunkturpolitik) (2015)
  2. Explaining the Transition Probabilities in the Peruvian Labor Market
    Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú Downloads View citations (2)
  3. 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 Downloads
    See also Journal Article in Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics) (2013)
  4. Residual test for cointegration with GLS detrended data
    Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú Downloads

2011

  1. 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 Downloads
    See also Journal Article in Applied Economics Letters (2012)
  2. CONVERGENCE IN THE CANADIAN PROVINCES: EVIDENCE USING UNEMPLOYMENT RATES
    Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú Downloads View citations (1)
  3. 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 Downloads View citations (2)
    See also Journal Article in Journal of Macroeconomics (2012)
  4. ESTIMATION OF A TIME VARYING NATURAL INTEREST RATE FOR PERU
    Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú Downloads View citations (2)
    Also in Working Papers, Banco Central de Reserva del Perú (2009) Downloads View citations (5)
  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 Downloads
    See also Journal Article in Revista Economía (2012)
  6. 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 Downloads View citations (10)
    Also in Working Papers, Banco Central de Reserva del Perú (2010) Downloads View citations (1)

    See also Journal Article in Studies in Economics and Finance (2013)
  7. 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 Downloads View citations (2)
    See also Journal Article in Revista Economía (2013)

2010

  1. 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 Downloads View citations (2)
    See also Journal Article in OECD Journal: Journal of Business Cycle Measurement and Analysis (2010)
  2. 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 Downloads
    See also Journal Article in Revista Economía (2011)
  3. 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 Downloads
  4. Persistence of unemployment in the canadian provinces
    Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú Downloads View citations (4)
    See also Journal Article in International Regional Science Review (2011)

2009

  1. Estimating Output Gap, Core Inflation, and the NAIRU for Peru
    Working Papers, Banco Central de Reserva del Perú Downloads View citations (1)
  2. Foreign Exchange Intervention and Exchange Rate Volatility in Peru
    Working Papers, Banco Central de Reserva del Perú Downloads View citations (8)
    See also Journal Article in Applied Economics Letters (2010)
  3. Have European Unemployment Rates Converged?
    Working Papers, Banco Central de Reserva del Perú Downloads View citations (3)
  4. Using A Forward-Looking Phillips Curve to Estimate the Output Gap in Peru
    Working Papers, Banco Central de Reserva del Perú Downloads
    See also Journal Article in Review of Applied Economics (2010)

2007

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

    See also Journal Article in Journal of International Money and Finance (2007)

2006

  1. Finite Sample Behaviour of the Level Shift Model using Quasi-Differenced Data
    Working Papers, University of Ottawa, Department of Economics Downloads View citations (3)
  2. 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 Downloads View citations (3)
  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 Downloads View citations (5)
    See also Journal Article in Econometrics Journal (2006)

2005

  1. Human activities and global warming: a cointegration analysis
    MPRA Paper, University Library of Munich, Germany Downloads View citations (13)
    Also in Working Papers, University of Ottawa, Department of Economics (2003) Downloads

2003

  1. Are Canadian Regional Business Cycles All Alike?
    Working Papers, University of Ottawa, Department of Economics Downloads
  2. Evaluating Time Series Models in Short and Long-Term Forecasting of Canadian Air Passenger Data
    Working Papers, University of Ottawa, Department of Economics Downloads
  3. Identifying Canadian Regional Business Cycles using the Friedmand Plucking Model
    Working Papers, University of Ottawa, Department of Economics Downloads
  4. Identifying Permanent and Transitory Components in Latin-American Real Exchange Rates
    Working Papers, University of Ottawa, Department of Economics Downloads
  5. Indirect Patent Citations
    Working Papers, University of Ottawa, Department of Economics Downloads View citations (12)
    See also Journal Article in Scientometrics (2006)
  6. 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 Downloads

2001

  1. 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 Downloads View citations (1)
    See also Journal Article in Applied Economics (2003)
  2. Estimation of the Taylor Rule for Canada Under Multiple Structural Changes
    Working Papers, University of Ottawa, Department of Economics Downloads View citations (5)

2000

  1. Seraching for Additive Outliers in Nonstationary Time Series
    Working Papers, University of Ottawa, Department of Economics View citations (1)
    See also Journal Article in Journal of Time Series Analysis (2003)

1998

  1. GLS Detrending, Efficient Unit Root Tests and Structural Change
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (8)
    See also Journal Article in Journal of Econometrics (2003)

Journal Articles

2023

  1. Effects of external shocks on macroeconomic fluctuations in Pacific Alliance countries
    Economic Modelling, 2023, 124, (C) Downloads
  2. 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 Downloads
  3. 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 Downloads View citations (2)
    See also Working Paper (2022)
  4. 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 Downloads
    See also Working Paper (2020)

2022

  1. 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 Downloads View citations (4)
    See also Working Paper (2020)
  2. Presidential approval in Peru: an empirical analysis using a fractionally cointegrated VAR
    Economic Change and Restructuring, 2022, 55, (3), 1973-2010 Downloads
    See also Working Paper (2019)

2021

  1. 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 Downloads
  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 Downloads

2020

  1. 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) Downloads View citations (1)
  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) Downloads View citations (1)

2019

  1. 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 Downloads
  2. 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 Downloads
  3. Estimation of Peru’s sovereign yield curve: the role of macroeconomic and latent factors
    Journal of Economic Studies, 2019, 46, (3), 533-563 Downloads

2018

  1. 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 Downloads View citations (4)
  2. Driving economic fluctuations in Peru: the role of the terms of trade
    Empirical Economics, 2018, 55, (3), 1089-1119 Downloads View citations (11)
    See also Working Paper (2014)
  3. Stochastic Volatility in the Peruvian Stock Market and Exchange Rate Returns: A Bayesian Approximation
    Journal of Emerging Market Finance, 2018, 17, (3), 354-385 Downloads
    See also Working Paper (2014)
  4. 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 Downloads
    See also Working Paper (2014)

2017

  1. 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 Downloads
  2. 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 Downloads View citations (2)
  3. 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 Downloads
  4. 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 Downloads
  5. 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 Downloads

2016

  1. 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 Downloads
    See also Working Paper (2014)
  2. Residuals‐based tests for cointegration with generalized least‐squares detrended data
    Econometrics Journal, 2016, 19, (1), 84-111 Downloads View citations (4)
  3. 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 Downloads
    See also Working Paper (2014)

2015

  1. 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 Downloads View citations (2)
    See also Working Paper (2015)
  2. 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 Downloads
    See also Working Paper (2012)
  3. Structural Breaks and Convergence in the Regions of Peru: 1970–2010
    Review of Development Economics, 2015, 19, (2), 346-357 Downloads View citations (2)
  4. Structural breaks and labor market disparities in the Canadian provinces
    Journal of Economic Studies, 2015, 42, (2), 322-342 Downloads View citations (2)

2014

  1. 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 Downloads
    See also Working Paper (2013)
  2. Do Labor Reforms in Spain Have an Effect on the Equilibrium Unemployment Rate?
    International Journal of Social Science Studies, 2014, 2, (1), 105-120 Downloads View citations (1)
    See also Working Paper (2013)
  3. Trend-cycle decomposition for Peruvian GDP: application of an alternative method
    Latin American Economic Review, 2014, 23, (1), 1-44 Downloads View citations (1)
    See also Working Paper (2013)

2013

  1. 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 Downloads View citations (4)
    See also Working Paper (2012)
  2. Some stylized facts of return in the foreign exchange and stock markets in Peru
    Studies in Economics and Finance, 2013, 30, (2), 139-158 Downloads View citations (16)
    See also Working Paper (2011)
  3. Understanding the functional central limit theorems with some applications to unit root testing with structural change
    Revista Economía, 2013, 36, (71), 107-149 Downloads
    See also Working Paper (2011)

2012

  1. A factorial decomposition of inflation in Peru: an alternative measure of core inflation
    Applied Economics Letters, 2012, 19, (14), 1331-1334 Downloads View citations (2)
    See also Working Paper (2011)
  2. 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 Downloads View citations (20)
    See also Working Paper (2011)
  3. GLS para eliminar los componentes determinísticos, estadísticos de raíz unitaria eficientes y cambio estructural
    Revista Economía, 2012, 35, (69), 174-203 Downloads View citations (1)
  4. Impacto de expectativas políticas en los retornos del Índice General de la Bolsa de Valores de Lima
    Revista Economía, 2012, 35, (70), 190-223 Downloads
    See also Working Paper (2011)
  5. The unemployment rate, unemployment volatility, and crime
    International Journal of Social Economics, 2012, 39, (6), 440-448 Downloads View citations (3)

2011

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

2010

  1. 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 Downloads View citations (2)
    See also Working Paper (2010)
  2. ESTIMATING OUTPUT GAP, CORE INFLATION, AND THE NAIRU FOR PERU, 1979-2007
    Applied Econometrics and International Development, 2010, 10, (1) Downloads
  3. Foreign exchange intervention and exchange rate volatility in Peru
    Applied Economics Letters, 2010, 17, (15), 1485-1491 Downloads View citations (30)
    See also Working Paper (2009)
  4. Using A Forward-Looking Phillips Curve to Estimate the Output Gap in Peru
    Review of Applied Economics, 2010, 06, (1-2), 13 Downloads
    See also Working Paper (2009)

2009

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

2008

  1. 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 Downloads View citations (1)

2007

  1. On the value of information in the presence of moral hazard
    Review of Economic Design, 2007, 10, (4), 341-361 Downloads
  2. The role of permanent and transitory components in the fluctuations of Latin-American real exchange rates
    Applied Economics, 2007, 39, (21), 2713-2722 Downloads View citations (2)
  3. 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 Downloads View citations (2)
    See also Working Paper (2007)

2006

  1. Indirect patent citations
    Scientometrics, 2006, 67, (3), 437-465 Downloads View citations (19)
    See also Working Paper (2003)
  2. The role of the interprovincial transfers in theβ‐convergence process
    Journal of Economic Studies, 2006, 33, (1), 12-29 Downloads
  3. 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 (2006)

2005

  1. 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 Downloads View citations (1)
  2. Modeling nonlinearities and asymmetries in quarterly revenues of the US telecommunications industry
    Structural Change and Economic Dynamics, 2005, 16, (1), 137-158 Downloads
  3. The Economic Impact of Professional Teams on Monthly Hotel Occupancy Rates of Canadian Cities
    Journal of Sports Economics, 2005, 6, (3), 314-324 Downloads View citations (18)

2004

  1. An empirical note about additive outliers and nonstationarity in Latin-American inflation series
    Empirical Economics, 2004, 29, (2), 361-372 Downloads View citations (9)
  2. 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 Downloads View citations (59)

2003

  1. Analysing the effects of labour standards on US export performance. A time series approach with structural change
    Applied Economics, 2003, 35, (9), 1043-1051 Downloads View citations (9)
    See also Working Paper (2001)
  2. GLS detrending, efficient unit root tests and structural change
    Journal of Econometrics, 2003, 115, (1), 1-27 Downloads View citations (107)
    See also Working Paper (1998)
  3. SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES
    Journal of Time Series Analysis, 2003, 24, (2), 193-220 Downloads View citations (53)
    See also Working Paper (2000)

1993

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

Books

2011

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

1993

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

Chapters

2012

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

2009

  1. 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 Downloads
 
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