Time-varying impact of fiscal shocks over GDP growth in Peru: An empirical application using hybrid TVP-VAR-SV models

This paper estimates hybrid TVP-VAR-SV models suggested by Chan and Eisenstat (2018a) to identify quantify the impact of fiscal shocks on GDP growth in Peru between 1995Q1–2018Q2. According Bayesian criteria, best exhibit time-varying dynamics, but not necessarily all parameters. Considering this result, our findings suggest that: (i) are significant whole sample according impulse response functions, forecast error variance decomposition historical growth; (ii) tax revenue least important their is model dependent; (iii) expenditure relevant drivers (iv) multipliers, mainly for capital spending, have been growing over last 20 years. We recommend constant revision estimated multipliers that, following years, policy should be mostly driven expenditure.