Aggregate and Sectoral Shocks in the Peruvian Economy

This paper studies the evolution and dynamics of sectoral growth rates in the Peruvian economy and examines the contribution of aggregate and idiosyncratic components to the variability of these growth rates. The research uses quarterly sectorial data for the period 1981 - 2015 and performs the estimation using a dynamic factor model with time-varying coefficients and stochastic volatility. The results show that prior to 1992, aggregate shocks would have been more important to explain the dynamics of sectoral series. However, in recent years, the idiosyncratic component has become more relevant. This structural change in the behavior of the production series would be associated with the economic reforms carried out in Peru at the beginning of the 90s. (Audio: Department of Economic Publications)