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Predicción de variables macroeconómicas en el Perú a través un modelo BVAR con media cambiante en el tiempo

Author

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  • Pérez Forero, Fernando

    (Banco Central de Reserva del Perú)

Abstract

Realizar predicciones macroeconómicas en un entorno cambiante en el tiempo e incierto es hoy en día un gran desafío. Este trabajo utiliza un modelo VAR Bayesiano con una media cambiante en el tiempo y volatilidad estocástica, y para así elaborar proyecciones para Perú. Estas propiedades mencionadas le brindan al modelo suficiente flexibilidad para considerar los cambios estructurales que potencialmente se registren en la economía. Las proyecciones se realizan principalmente para variables como inflación y crecimiento del PBI, aunque el modelo es suficientemente flexible como para ser adaptado en el futuro hacia el uso de otras variables. Este ejercicio utiliza información de la encuesta de expectativas macroeconómicas como observables para estimar las medias de largo plazo, siguiendo a Banbura and van Vlodrop (2018). Los resultados muestran un buen ajuste, y reafirman la idea asociada a que el uso de encuestas de expectativas permite reducir la incertidumbre a largo plazo, a la vez que los parámetros cambiantes en el tiempo mejoran el poder predictivo del modelo dinámico utilizado.

Suggested Citation

  • Pérez Forero, Fernando, 2021. "Predicción de variables macroeconómicas en el Perú a través un modelo BVAR con media cambiante en el tiempo," Working Papers 2021-001, Banco Central de Reserva del Perú.
    • Handle: RePEc:rbp:wpaper:2021-001
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    More about this item

    Keywords

    Density Forecasts; Stochastic Volatility; Time-Varying Parameters;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications

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