Papers by Gabriel Rodríguez
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ABSTRACT Recently, Vogelsang (1999) proposed a method to detect outliers which explicitly imposes... more ABSTRACT Recently, Vogelsang (1999) proposed a method to detect outliers which explicitly imposes the null hypothesis of a unit root. It works in an iterative fashion to select multiple outliers in a given series. We show, via simulations, that under the null hypothesis of no outliers, it has the right size in finite samples to detect a single outlier but when applied in an iterative fashion to select multiple outliers, it exhibits severe size distortions towards finding an excessive number of outliers. We show that this iterative method is incorrect and derice the appropriate limiting distribution of the test at each step of the search.
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International Regional Science Review, 2010
The authors analyze the degree of persistence of the unemployment rates of the ten Canadian provi... more The authors analyze the degree of persistence of the unemployment rates of the ten Canadian provinces using quarterly data for the period 1976:1–2005:4. They apply a two-break minimum Lagrange Multiplier (LM) unit root statistic, which, unlike standard unit root statistics (without or with breaks), makes it possible to find the stationarity of the different unemployment rates, giving support to the theory of the natural rate. The authors use the methodology of Bai and Perron (1998, 2003) to estimate a linear model with multiple structural changes to estimate the different degrees of persistence over the different regimes. The results suggest that the degree of persistence decreases when multiple breaks are allowed. Issues regarding the Canadian labor market, the insurance benefits program, interprovincial transfers, and interprovincial mobility are discussed as potential explanations for the results.
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Using a sample of weekly frequency of the stock and Forex markets returns series, we estimate a s... more Using a sample of weekly frequency of the stock and Forex markets returns series, we estimate a set of Markov-Switching-Generalized Autoregressive Conditional Heterocedasticity (MS-GARCH) models to a set of Latin American countries (Brazil, Chile, Colombia, Mexico and Peru) with an approach based on both the Monte Carlo Expectation-Maximization (MCEM) and Monte Carlo Maximum Likelihood (MCML) algorithms. The estimates are compared with a standard GARCH, MS and other models. The results show that the volatility persistence is captured differently in the MS and MS-GARCH models. The estimated parameters with a standard GARCH model exacerbates the volatility in almost double compared to MS-GARCH model and a lower likelihood with the other model than MS-GARCH model. There is different behavior of the coefficients and the variance according the two regimes (high and low volatility) by each model in the Latin American stock and Forex markets. There are common episodes related to global international crises and also domestic events producing the different behavior in the volatility of each time series.
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Documento de trabajo, 2020
Este artículo analiza la evolución de la política monetaria (PM) en Perú en 1996T1-2016T4 utiliza... more Este artículo analiza la evolución de la política monetaria (PM) en Perú en 1996T1-2016T4 utilizando un modelo autorregresivo de vectores de parámetros variables en el tiempo de innovación mixta con volatilidad estocástica (TVP-VAR-SV) propuesto por Koop et al. (2009). Los principales resultados empíricos son: (i) los coeficientes VAR y las volatilidades cambian más gradualmente que los errores de covarianza en el tiempo; (ii) la volatilidad de los shocks de PM fue mayor bajo el régimen de Metas de Preinflación (IT); (iii) un aumento sorpresivo de la tasa de interés produce caídas en el crecimiento del PIB y reduce la inactivación en el largo plazo; (iv) la tasa de interés reacciona más rápidamente a los choques de oferta agregada (AS) que a los choques de demanda agregada (DA); (v) Los shocks de MP explican un alto porcentaje del comportamiento de las variables domésticas bajo el régimen anterior a TI, pero su contribución disminuye bajo el régimen de TI.
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This paper analyzes and distinguishes the role and importance of the shocks related to the aggreg... more This paper analyzes and distinguishes the role and importance of the shocks related to the aggregate demand and aggregate supply on the behavior of the Peruvian inflation during the period 1997:1-2009:2. We use the methodology based on structural vector autoregressive (SVAR) models using a long-run identification based on Blanchard and Quah (1989) which allows to obtain the historical decomposition of the annual inflation. Unlike Salas (2009), this paper uses a simpler model of aggregate demand and aggregate supply, and a larger sample. The results show that the behavior of inflation was largely explained for shocks related to the aggregate demand side in comparison with aggregate supply shocks. Furthermore, the results of the variance decomposition of the prediction error show that in the short and long term, the shocks of the demand side explain around 70% and 60% of the movements of the inflation. The results are robust to the inclusion of different variables in the set of inform...
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The Journal of Socio-Economics, 2013
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Journal of Macroeconomics, 2012
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Empirical Economics, 2004
Page 1. Abstract. This note shows the empirical dangers of the presence of large additive outlier... more Page 1. Abstract. This note shows the empirical dangers of the presence of large additive outliers when testing for unit roots using standard unit root statistics. Using recent proposed procedures applied to four Latin-American ...
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Review of Pacific Basin Financial Markets and Policies, 2019
Asymmetric autoregressive conditional heteroskedasticity (EGARCH) models and asymmetric stochasti... more Asymmetric autoregressive conditional heteroskedasticity (EGARCH) models and asymmetric stochastic volatility (ASV) models are applied to daily data of Peruvian stock and Forex markets for the period of 5 January 1998–30 December 2011. Following the approach developed in [Omori, Y, S Chib, N Shephard and J Nakajima (2007). Stochastic volatility with leverage: Fast likelihood inference. Journal of Econometrics, 140, 425–449], Bayesian estimation tools are used with Normal and [Formula: see text]-Student errors in both models. The results suggest the significant presence of asymmetric effects in both markets. In the stock market, negative shocks generate higher volatility than positive shocks. In the Forex market, shocks related to episodes of depreciation create higher uncertainty in comparison with episodes of appreciation. Thus, the Central Reserve Bank faces relatively major difficulties in its intention of smoothing Forex volatility in times of depreciation. The model with the be...
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Empirical research indicates that the volatility of stock return time series has long memory. How... more Empirical research indicates that the volatility of stock return time series has long memory. However, it has been demonstrated that short memory processes contaminated by random level shifts can often be confused with long memory, a feature often referred to as spurious long memory. This paper represents an empirical study of the random level shift (RLS) model for the volatility of daily stock return data for five Latin American countries. This model consists of the sum of a short term memory component and a level shift component that is governed by a Bernoulli process with a shift probability. The results suggest that level shifts in the volatility of daily stock return data are infrequent but when taken into account, the long memory characteristic and GARCH effects disappear. An out-of-sample forecasting exercise is also provided.
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In this study, we investigate the long term dependence or long memory present in the volatility o... more In this study, we investigate the long term dependence or long memory present in the volatility of the stock market returns of Peru, Brazil, Mexico, Chile, Argentina, and the SP 1; 4=5; 1), and mean td of Perron and Qu (2010) are used to verify for long memory. Also we show evidence about the behavior of the long memory estimator db for di§erent sample sizes included in the estimation procedure. The evidence reported graphically and through the statistics suggest that the generating process of the volatility series is spurious memory, except for Chile, whose evidence of spurious memory is weak. Moreover, the graphics contain important information on the spurious memory behavior. The results of this study suggest that in reality, the long memory that is usually found in empirical studies would rather be associated with spurious memory, which could be due to the presence of structural breaks. JEL Classification-JEL: C12, C14, C22, G12.
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Documento de trabajo
Este trabajo cuantifica y evalúa el impacto de un choque adverso de oferta crediticia (LS) en los... more Este trabajo cuantifica y evalúa el impacto de un choque adverso de oferta crediticia (LS) en los principales agregados macroeconómicos de Perú utilizando un modelo de vector autorregresivo bayesiano (BVAR) en combinación con un esquema de identificación con restricciones de signo. Los principales resultados indican que un choque LS adverso: (i) reduce el crédito y el crecimiento del PIB real en 372 y 75 puntos básicos en el período de impacto, respectivamente; (ii) explica el 11,2% de la variabilidad del crecimiento del PIB real en promedio durante los siguientes 20 trimestres; y (iii) explicó una caída de 180 puntos básicos en el crecimiento del PIB real en promedio durante el primer trimestre de 2009 al primer trimestre de 2010 a raíz de la crisis financiera mundial (GFC). Además, el análisis de sensibilidad muestra que los resultados son robustos a esquemas de identificación alternativos con restricciones de signo; y que un choque LS adverso tiene un mayor impacto en el crecimie...
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The Quarterly Review of Economics and Finance
Abstract The Stochastic Volatility in Mean (SVM) model of Koopman and Uspensky (2002) is revisite... more Abstract The Stochastic Volatility in Mean (SVM) model of Koopman and Uspensky (2002) is revisited. An empirical study of five Latin American indexes in order to see the impact of the volatility in the mean of the returns is performed. Markov Chain Monte Carlo (MCMC) Hamiltonian dynamics is used to estimate latent volatilities and parameters. Our findings show that volatility has a negative impact on returns, indicating that volatility feedback effect is stronger than the effect related to the expected volatility. This result is clear and opposite to the finding of Koopman and Uspensky (2002) .
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Journal of Economic Studies
PurposeThe purpose of this paper is to analyze the effects of corruption on economic growth, huma... more PurposeThe purpose of this paper is to analyze the effects of corruption on economic growth, human development and natural resources in Latin American and Nordic countries.Design/methodology/approachUsing the hierarchical prior of Gelman et al. (2003), a Bayesian panel Vector AutoRegression (VAR) model is estimated. In addition, two alternative approaches are considered, namely, a panel error correction VAR model and an asymmetric panel VAR model.FindingsThe results reveal some relevant contrasts: (1) in Latin America there is support for the sand the wheels hypothesis in Bolivia and Chile, support for the grease the wheels hypothesis in Colombia and no significant impact of corruption on growth in Brazil and Peru, while in Nordic countries the response of growth to shocks in corruption is negative in all cases; (2) corruption negatively affects human development in all countries from both regions; (3) corruption tends to spur natural resources sector in Latin American countries, wh...
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Papers by Gabriel Rodríguez