Efectos de la incertidumbre por Covid-19 en las principales variables macroeconómicas del Perú desde un enfoque BVAR

Abstract

This research studies the effects caused by the COVID on the main macroeconomic variables of the Peruvian economy. The main problem of the study is to demonstrate the direction and permanence in time of the economic impact caused by the COVID shock on the macroeconomic variables of Peru, through the Bayesian Autoregressive Vectors methodology, which allows a better inference on the effects of an atypical shock, compared to classical econometrics and includes certain a priori beliefs under the Minnesota prior. Among the results found, it was obtained that a COVID uncertainty shock (shock in the WPUI index) generates a negative and permanent impact for more than two years on the macroeconomic variables analyzed. Thus, GDP and private consumption will return to their pre-COVID levels after more than two years, while private investment, economic output, unemployment rate, current account and terms of trade will not return to their pre-COVID levels until at least 20 quarters after the shock. Finally, it is important to mention that the paper contains information up to the first wave of COVID, so it does not extend to the development of the impact of the second and third waves of cases, that is, the results consider a single shock per COVID in 2020.