Using econometric tools for selecting I(1) and I(2) trends, we found the existence of static long-run steady-state and dynamic long-run steady-state relations between temperature and radiative forcing of solar irradiance and a set of three greenhouse gases series. Estimates of the adjustment...

The application of different unit root statistics is by now a standard practice in empirical work. Even when it is a practical issue, these statistics have complex nonstandard distributions depending on functionals of certain stochastic processes, and their derivations represent a barrier even...

Following the approach of MÈsonnier and Renne (2007), we estimate a Natural Rate of Interest (NRI) using quarterly Peruvian data for the period 1996:3-2008:3. The model has six equations and it is estimated using the Kalman Ölter with output gap and NRI as unobservable variables. Estimation...

This paper analyzes whether the exchange rate pass-through into prices changed when the inflation targeting scheme was adopted in Peru. Firstly, a small dynamic stochastic general equilibrium model is simulated, which shows that adopting this scheme induces an increase in exchange rate...

I use three non-linear econometric models to identify and analyze business cycles in the Peruvian economy for the period 1980:1-2008:4. The models are the Smooth Transition Autoregressive (STAR) model suggested by Teräsvirta (1994), the extended version of the MarkovSwitching model proposed by...

Discuten los resultados de una evaluación dinámica de las rentabilidades en los mercados cambiarios y bursátiles.

La economía peruana ha venido creciendo sostenidamente en los últimos 15 años. Verificar si los departamentos (o regiones) han logrado un proceso de convergencia ya sea hacia un solo estado estacionario o a su propio estado estacionario sería equivalente a verificar un proceso de inclusión...

Perron and Wada (J Monet Econ 56:749–765, <CitationRef CitationID="CR60">2009</CitationRef>) propose a new method of decomposition of the GDP in its trend and cycle components, which overcomes the identification problems of models of unobserved components (UC) and ARIMA models and at the same time, admits non-linearities and asymmetries...</citationref>