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Inventory Adjustments to Demand Shocks under Flexible Specifications

Carlos R. Barrera Chaupis
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Carlos R. Barrera Chaupis: Banco Central de Reserva del Perú

Monetaria, 2018, vol. VI, issue 1, 149-201

Abstract: The relations among growth rates in GDP and four aggregate demand components associated with inventory management are approximated by a neural var model with t-Student disturbances and an ARCH covariance matrix. The estimation sample corresponds to Peru’s market-based growth experience (1993Q1-2010Q1). The main finding is that a positive shock to private demand growth will contemporaneously generate a more than proportional increase in production growth. This amplifier impact effect is consistent with the cycle of inventories and the average incidence of the inventory investment growth inside the production growth during the last four recessions.

Keywords: time series models; neural networks; inventories; production smoothing; business fluctuations. (search for similar items in EconPapers)
JEL-codes: C32 C45 E22 E23 E32 (search for similar items in EconPapers)
Date: 2018
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