Estimación de un Índice de Condiciones Financieras para el Perú

An index of financial conditions (ICF) is estimated for the Peruvian economy in the period between 2004 and 2018. For this purpose, the methodology proposed by Koop and Korobilis (2014), i.e. a Factor Augmented VAR model with time varying parameters (TVP-FAVAR). As a result, this methodology produces a representative indicator of all the variables relevant to the financial system and, given its flexibility, it also allows the contributions of the variables included in the model to change throughout the sample. Using this Index of financial conditions, the interrelation between the real and financial sector in the Peruvian economy is quantified, where in particular the reaction of the estimated Index to different macroeconomic shocks is estimated and the co-movement of this with the GDP growth is also studied. Subsequently, the historical decomposition of the estimated index is shown. The future agenda focuses on evaluating the predictive capacity of this Index and also on its capacity to become an early warning mechanism (G´omez et al., 2011).