Central bank research hub - Papers by Gabriel Rodríguez
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Research hub papers by author Gabriel RodríguezenSome stylized facts of returns in the foreign exchange and stock markets in Peru
http://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2010/Documento-de-Trabajo-17-2010.pdf
Central Reserve Bank of Peru Working Papers by Alberto Humala, Gabriel RodríguezSome stylized facts of returns in the foreign exchange and stock markets in Peru2010-12-16T06:23:00ZSome stylized facts for foreign exchange and stock market returns are explored using statistical methods. Formal statistics for testing presence of autocorrelation, asymmetry, and other deviations from normality is applied to these financial returns. Dynamic correlations and different kernel estimations and approximations of the empirical distributions are also under scrutiny. Furthermore, dynamic analysis of mean, standard deviation, skewness and kurtosis are also performed to evaluate time-varying properties in return distributions. Main results reveal different sources and types of non-normality in the return distributions in both markets. Left fat tails, excess kurtosis, return clustering and unconditional time-varying moments show important deviations from normality. Identifiable volatility cycles in both forex and stock markets are associated to common macro financial uncertainty events.Some stylized facts of returns in the foreign exchange and stock markets in PeruFull texthttp://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2010/Documento-de-Trabajo-17-2010.pdfGabriel RodríguezAlberto HumalaAlberto Humala, Gabriel Rodríguez2010-12Central Reserve Bank of Peru Working PapersUsing A Forward-Looking Phillips Curve to Estimate the Output Gap in Peru
http://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2009/Working-Paper-10-2009.pdf
Central Reserve Bank of Peru Working Papers by Gabriel RodríguezUsing A Forward-Looking Phillips Curve to Estimate the Output Gap in Peru2009-04-30T12:39:00ZThis paper identifies the output gap using the theoretical definition of the gap within a Phillips curve. The results show that the output gap is large and persistent. Furthermore, the output gap is not correlated with the stochastic trend which is similar to the asumption used in the unobserved components model. The model is extended to include information coming from the unemployment rate. The results are very similar to those obtained without this variable indicating poor additional information in the unemployment rate to identify the output gap. Other estimations of the output gap are performed. I use the procedures of Hodrick and Prescott (1997), Baxter and King (1999), Beveridge and Nelson (1981), Morley, Nelson and Zivot (2003), the unobserved components model of Clark (1987) and a simple quadratic trend. The results show strong di¤erences between our measure of output gap and the other measures. The closer measure is the one obtained using the unobserved component model and the simple quadratic trend.Using A Forward-Looking Phillips Curve to Estimate the Output Gap in PeruFull texthttp://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2009/Working-Paper-10-2009.pdfGabriel RodríguezGabriel Rodríguez2009-04Central Reserve Bank of Peru Working PapersC22C52E31E32Foreign Exchange Intervention and Exchange Rate Volatility in Peru
http://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2009/Working-Paper-08-2009.pdf
Central Reserve Bank of Peru Working Papers by Alberto Humala, Gabriel RodríguezForeign Exchange Intervention and Exchange Rate Volatility in Peru2009-04-30T12:39:00ZFlexible exchange rate experience in Peru has been accompanied by frequent official interventions in the form of foreign exchange purchases or sales. Monetary authority pursues reducing excess volatility in the exchange rate through its direct intervention. However, in recent years, this intervention has concentrated in US dollars purchases, apparently signaling a bias towards defending a given exchange rate level (not necessarily fixed). For the period 1994 - 2007, this document assesses consistency of the empirical evidence with the goal of reducing exchange rate volatility. Thus, it uses univariate and multivariate time series models subject to stochastic shifts to study currency pressures. Results suggest consistency with the reduced-volatility goal. Nonetheless, in line with other studies, factors such as the foreign exchange gap with respect to its trend also induce foreign exchange intervention.Foreign Exchange Intervention and Exchange Rate Volatility in PeruFull texthttp://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2009/Working-Paper-08-2009.pdfGabriel RodríguezAlberto HumalaAlberto Humala, Gabriel Rodríguez2009-04Central Reserve Bank of Peru Working PapersC22C32E52F31Estimating Output Gap, Core Inflation, and the NAIRU for Peru
http://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2009/Working-Paper-11-2009.pdf
Central Reserve Bank of Peru Working Papers by Gabriel RodríguezEstimating Output Gap, Core Inflation, and the NAIRU for Peru2009-04-30T12:39:00ZFollowing Doménech and Gómez (2006), and using quarterly Peruvian data for 1970:1-2007:4, I estimate a model that exploits the information contained in the inflation, unemployment and private investment rates in order to estimate non-observable variables as output gap, the NAIRU and the core inflation. The unknown parameters are esti- mated by maximun likelihood using a Kalman filter initialized with a partially difuse prior, and the unobserved components are estimated using a smoothing algorithm. The results suggest that only the infla- tion rate contains useful information in order to estimate the output gap. Estimates suggest poor performance for the unemployment and private investment rates. I explain this issue as related to the poor quality of the construction of these variables. In order to perform a sensitivity analysis, I estimate the output gap using other alternative methods. The correlations are very different and very far away from the estimates obtained in this paper. It is clear that estimates obtained from simple statistical filters give poor approximations.Estimating Output Gap, Core Inflation, and the NAIRU for PeruFull texthttp://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2009/Working-Paper-11-2009.pdfGabriel RodríguezGabriel Rodríguez2009-04Central Reserve Bank of Peru Working PapersC22C32C52E31E32Estimation of a Time Varying Natural Interest Rate for Peru
http://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2009/Working-Paper-09-2009.pdf
Central Reserve Bank of Peru Working Papers by Alberto Humala, Gabriel RodríguezEstimation of a Time Varying Natural Interest Rate for Peru2009-04-30T12:39:00ZFollowing the approach of Mésonnier 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 filter with output gap and NRI as unobservable variables. Estimation results indicate a more stable NRI in period 2001:3 - 2008:3 than in period 1996:3 - 2001:2 and also more stable than the observed real interest rate. Real interest rate gap (difference between real and natural rates), which measures monetary policy stance, indicates a restrictive policy for 1996-2001 and for 2003. Results also suggest a real interest rate greater than NRI for 2002 and for 2004-2008.Estimation of a Time Varying Natural Interest Rate for PeruFull texthttp://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2009/Working-Paper-09-2009.pdfGabriel RodríguezAlberto HumalaAlberto Humala, Gabriel Rodríguez2009-04Central Reserve Bank of Peru Working PapersC32E32E43E52Have European Unemployment Rates Converged?
http://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2009/Working-Paper-07-2009.pdf
Central Reserve Bank of Peru Working Papers by Dionisio Ramírez Carrera, Gabriel RodríguezHave European Unemployment Rates Converged?2009-04-30T12:39:00ZUsing different unit root statistics and the approach of Tomljanovich and Vogelsang (2002), we test for the existence of stochastic and ß - convergence in the unemployment rates of a set of thirteen European countries. Using quarterly data for the period 1984:1-2005:4, we observe that there has taken place a convergence process in the majority of European unemployment rates. This process has become more intense since 1993.Have European Unemployment Rates Converged?Full texthttp://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2009/Working-Paper-07-2009.pdfDionisio Ramírez CarreraGabriel RodríguezDionisio Ramírez Carrera, Gabriel Rodríguez2009-04Central Reserve Bank of Peru Working PapersC22C52E24J60Efficiency of the Monetary Policy and Stability of Central Bank Preferences. Empirical Evidence for Peru
http://www.bcrp.gob.pe/bcr/dmdocuments/Publicaciones/Wpapers/DT2007_008.pdf
Central Reserve Bank of Peru Working Papers by Gabriel RodríguezEfficiency of the Monetary Policy and Stability of Central Bank Preferences. Empirical Evidence for Peru2007-06-26T07:10:00ZFollowing the approach suggested by Favero and Rovelli (2003), I estimate a three-equations system for different sub-samples for Peru. The results indicate that the preferences of the monetary authority have changed between the diffeerent regimes. In particular, the parameter associated to the implicit target of in‡ation has been reduced significantly. The macroeconomic conditions from the side of the aggregate demand have been more favorable than those related to the aggregate supply. The standard deviation of the monetary rule suggests that it has been conducted successfully in the last regime.Efficiency of the Monetary Policy and Stability of Central Bank Preferences. Empirical Evidence for PeruAbstracthttp://www.bcrp.gob.pe/bcr/ingles/Working-Papers/eDT-2007008-Efficiency-of-the-Monetary-Policy-and-Stability-of-Central-Bank-Prefere.htmlFull texthttp://www.bcrp.gob.pe/bcr/dmdocuments/Publicaciones/Wpapers/DT2007_008.pdfGabriel RodríguezGabriel Rodríguez2007-05Central Reserve Bank of Peru Working PapersC2E5Application of Three Alternative Approaches to Identify Business Cycles in Peru
http://www.bcrp.gob.pe/bcr/dmdocuments/Publicaciones/Wpapers/DT2007_007.pdf
Central Reserve Bank of Peru Working Papers by Gabriel RodríguezApplication of Three Alternative Approaches to Identify Business Cycles in Peru2007-06-01T12:00:00ZThree alternative econometric approaches are used to estimate business cycles in the Peruvian economy. These approaches are the Plucking model due to Friedman (1964, 1993), the Markov Switching model proposed by Hamilton (1989) and the Smooth Transition Autoregressive (STAR) model suggested by Teräsvirta (1994). The results show strong rejection of the null hypothesis of linearity, presence of asymmetries and nonlinearities. Furthermore, the methods allow to find the principal episodes of recession for the Peruvian economy.Application of Three Alternative Approaches to Identify Business Cycles in PeruAbstracthttp://www.bcrp.gob.pe/bcr/ingles/Working-Papers/eDT-2007007-Application-of-Three-Alternative-Approaches-to-Identify-Business-Cycles-in.htmlFull texthttp://www.bcrp.gob.pe/bcr/dmdocuments/Publicaciones/Wpapers/DT2007_007.pdfGabriel RodríguezGabriel Rodríguez2007-05Central Reserve Bank of Peru Working PapersC22C52E32