Structural Analysis with SVAR Model of the Effectiveness of Fiscal Policy in Peru: 1995 – 2019
DOI:
https://doi.org/10.55908/sdgs.v11i6.1201Keywords:
fiscal policy, shocks, convergence, structural and macroeconomicsAbstract
Aim: The objective of this research work is the analysis of macroeconomic shocks on fiscal policy in Peru in the years 1995 - 2019, based on empirical evidence collected, a structural autoregressive vector model (SVAR) will be formalized.
Methodology: The SVAR technique offers the possibility of analyzing the dynamic interrelationships between a set of variables, which gives it greater possibilities to analyze and contrast theoretical models.
Results: In the first part, certain definitions and arguments that justify the use of this type of model will be shown, then we will show our variables to use and we will propose the model. Next we will show the basic steps to be able to work with time series, such as the unit root tests for our series in levels and then we will use a transformation of these to extract characteristics such that the model presents stability and convergence.
Conclusion: Then we will show the steps to be able to estimate VAR models, how to choose the optimal lags to later (through an identification process) obtain our structural model. In this part we will use a particular identification methodology and we will discuss its definitions and how economic theory is used to be able to impose restrictions. Finally, in the central part, the impulse-response functions will be estimated, which is (together with the decomposition of the variance prediction error and the history decomposition) the tool that will allow us to draw a conclusion and results about the dynamics of macroeconomic behavior.
Originality/value: will allow us to draw a conclusion and results about the dynamics of macroeconomic behavior.
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