Authors: Jose Rodney Menezes De la Cruz.

Journal: Journal of Research in Financial Models. 

Abstract: This research examines the effect of the development of the stock market on economic growth in Peru between 2003 and 2024, using a hierarchical Bayesian Vector Autoregressive (BVAR) model. It analyzes and explores the dynamic interactions between macroeconomic variables and financial variables in the stock market. The results indicate that shocks to the General Index of the Lima Stock Exchange generate a positive, though limited and transitory, impact on economic growth and investment. Likewise, equity and fixed-income transactions exert a positive influence on consumption and financial stability, respectively, albeit with lesser magnitude. This analysis highlights the importance of the stock market for Peru’s economic growth but also points out that its effects are limited, emphasizing the need for further structural development of the financial system to achieve greater and more persistent effects on economic growth.

Authors:  Jose Rodney Menezes De la Cruz

Journal: National University of the Peruvian Amazon. 

Abstract: ‎This research examines the distributive effects of monetary policy on the Peruvian economy, using a Dynamic Stochastic General Equilibrium (DSGE) model with heterogeneous agents, calibrated and estimated through Bayesian techniques. The study focuses on analyzing how monetary policy shocks affect the distribution of income, consumption, and wealth among formal and informal households, incorporating the heterogeneity of economic agents and assessing the aggressiveness of monetary interventions. The results show that monetary policy has significant redistributive effects in the Peruvian economy, although these effects are predominantly transitory, with inequality measures returning to their stationary states in the medium term. The main hypothesis that monetary policy shocks significantly impact economic distribution is validated, and it is observed that the aggressiveness of monetary policy modulates the magnitude and speed of convergence towards equilibrium. This research contributes to the growing body of literature that recognizes the importance of considering the heterogeneity of agents and the distributive consequences of macroeconomic policies, especially in economies with high levels of heterogeneity like Peru and emerging economies.

Authors: Jose Rodney Menezes De la Cruz.

Journal: Journal of Research in Financial Models - (En Proceso de Publicación). 

Abstract: This article analyzes the dynamics of economic growth in Latin American countries in response to oil price shocks under different fiscal rules, using the calibration of a theoretical neoclassical growth model. Our findings indicate that an increase in oil prices has a positive impact on the growth rates of Gross Domestic Income (GDI) and Gross Domestic Product (GDP), regardless of the fiscal rule applied. Fiscal rules incorporating Hartwick's rule appear to be the most effective in smoothing the impacts of these shocks, due to their emphasis on investment as a buffering mechanism for the economy's productive capacity. In contrast, a structural surplus fiscal rule has the most significant positive impacts on long-term economic growth. We also observe that the magnitude of the impact on growth rates depends significantly on the structural characteristics of each country. Lastly, our results suggest a convergence in growth rates among Latin American countries.

Authors: Jose Rodney Menezes De la Cruz; Mario Andre Lopez Rojas; Fritz Gian Pierre Alva Da Silva.

Journal: Universidad del Pacifico - (En proceso de publicación). 

Abstract: Using a Bayesian dynamic factor model and mixed-frequency economic series, a tool is developed to estimate the unobserved latent quarterly economic activity of Loreto. This approach also enables early projections ahead of the official publication of the region's annual Gross Value Added. The results show that the economic activity indicator aligns with both regional and national economic performance. Furthermore, it is demonstrated that the forecasts of Loreto's Gross Value Added have a high level of accuracy, with predictions deviating on average by only 1.5% (based on the root mean square error - RMSE) from the actual data.