Template-type: ReDIF-Paper 1.0 Author-Name: Gabriel Rodriguez Author-Workplace-Name: Departamento de Economía de la Pontificia Universidad Católica del Perú Author-Name: Luis Mancilla Marquina Author-Workplace-Name: Departamento de Economía de la Pontificia Universidad Católica del Perú Title: Evaluating The Self-Defeating Fiscal Austerity Hypothesis for a Dollarized Economy: The Peruvian Case Abstract: This paper tests the hypothesis of self-defeating fiscal austerity (Attinasi and Metelli, 2017; Cherif and Hasanov, 2018), using a time-varying parameter vector autoregression with stochastic volatility (TVP-VAR-SV) model estimated on Peruvian data for 2000Q2–2024Q2. The central objective is to assess whether, following a transitory fiscal austerity shock, the debt-to-GDP ratio declines in the long run. If debt fails to decrease—or rises—over time, fiscal policy would be deemed self-defeating for the period under study, reflecting the contraction in economic activity that typically accompanies fiscal tightening. The paper also examines the role of exchange rate dynamics in fiscal consolidation—an aspect largely unexplored in the literature. A family of models with time-varying parameters and stochastic volatility is estimated to evaluate whether these features are essential for an adequate model fit. The results provide evidence against the self-defeating austerity hypothesis: the long-run cumulative response of the debt-to-GDP ratio stabilizes roughly 0.6 percentage points of GDP below its no-shock path. The findings underscore the importance of the exchange rate channel in enhancing the effectiveness of austerity shocks. However, fiscal stabilization becomes ineffective when achieved through expenditure cuts rather than revenue measures, as spending-based austerity dampens GDP growth and exhibits limited persistence, weakening its long-term effect. Palabras claves: Función de Reacción Fiscal, Choques de Austeridad, Austeridad Fiscal, Deuda Pública, Sostenibilidad Fiscal, Parámetros Cambiantes en el Tiempo, Volatilidad Estocástica JEL Classification-JE: C11, E32, E62 Keywords: Fiscal Reaction Function, Austerity Shocks, Fiscal Austerity, Public Debt, Fiscal Sustainability, Time-Varying Parameters, Stochastic Volatility. Length: 70 Creation-Date: 2026 Number: 2026-555 Publication-Status: published File-URL: http://doi.org/10.18800/2079-8474.0555 File-Format: application/pdf Handle: RePEc:pcp:pucwps:wp00555 Template-type: ReDIF-Paper 1.0 Author-Name: Gabriel Rodriguez Author-Workplace-Name: Departamento de Economía de la Pontificia Universidad Católica del Perú Author-Name: Fiorela Liza Author-Workplace-Name: Pontificia Universidad Católica del Perú Author-Name: Miguel Ataurima Arellano Author-Workplace-Name: CAF-Development Bank of Latin America and the Caribbean y Pontificia Universidad Católica del Perú Title: Forecasting Value at Risk and Expected Shortfall in Equity Markets of High-Income and Latin American Countries Abstract:Using daily equity market data for Latin American (Latam) and high-income (HI) countries over 2008-2023, this paper estimates GARCH and GJR models to forecast Value at Risk (VaR) and Expected Shortfall (ES). The performance of a broad set of heavy-tailed and asymmetric distributions is evaluated, including the Normal (N), Skewed Normal (skN), Student’s t (S), skewed S (skS), generalized hyperbolic skS (GHskS), normal inverse Gaussian (NIG), skewed NIG (skNIG), normal reciprocal inverse Gaussian (NRIG), and skewed NRIG (skNRIG). The key findings can be summarized as follows: (i) for VaR forecasting, asymmetric distributionsare preferred at both confidence levels, and at the 99% level heavy tails are also required; (ii) for ES forecasting, at both confidence levels the selected models rely on asymmetric heavy-tailed distributions, with GHskS emerging as the dominant specification; (iii) for VaR forecasting, modeling leverage effects is necessary for most HI countries, whereas this is required for only about half of the Latam countries; and (iv) for ES forecasting, volatility specification plays a more limited role than in VaR forecasting. Palabras claves: Valor al Riesgo, Pérdida Esperada, Modelos GARCH, Distribuciones de Colas Pesadas, Países LATAM, Países de Altos Ingresos, Mercados Bursátiles, Mercados Forex. JEL Classification-JE: C52, C53, G17 Keywords: Value at Risk, Expected Shortfall, GARCH Models, Heavy-Tailed Distributions, Latin American Countries, High-Income Countries, Equity Markets, Forex Markets. Length: 69 Creation-Date: 2026 Number: 2026-554 Publication-Status: published File-URL: http://doi.org/10.18800/2079-8474.0554 File-Format: application/pdf Handle: RePEc:pcp:pucwps:wp00554 Template-type: ReDIF-Paper 1.0 Author-Name: Javier Olivera Author-Workplace-Name: Departamento de Economía de la Pontificia Universidad Católica del Perú Author-Name: Yadiraah Iparraguirre Author-Workplace-Name: Pontificia Universidad Católica de Chile Title: The effects of social pensions on monetary and time transfers among the poor Abstract:We study the effects of Peru’s social pension program, Pension 65, on family transfers of money and time. The program provides pensions to individuals aged 65 and over who are officially classified as extremely poor and who do not receive other pensions. We use survey data matched to the program’s administrative registers and exploit the discontinuity around the welfare index that determines eligibility to estimate the intention-to-treat effects of the program on family transfers. We find that Pension 65 reduces monetary family transfers by 70% (the effect is 97% for men). There is a substantial increase in childcare hours among men, from 1 to 7 hours per week. This result is consistent with an increase in the number of young children in the household and with a reduction in time spent on leisure activities among men. Palabras claves: Pensiones sociales, transferencias familiares, uso del tiempo, pobreza JEL Classification-JE: H55, I38, J14, J26 Keywords: Social pensions, family transfers, time use, poverty, ageing Length: 52 Creation-Date: 2026 Number: 2026-553 Publication-Status: published File-URL: http://doi.org/10.18800/2079-8474.0553 File-Format: application/pdf Handle: RePEc:pcp:pucwps:wp00553 Template-type: ReDIF-Paper 1.0 Author-Name: Roxana Barrantes Cáceres Author-Workplace-Name: Departamento de Economía de la Pontificia Universidad Católica del Perú Author-Name: Rossy Talancha Luna Author-Workplace-Name: GRADE Title: El rol paradójico de la familia extendida en la penalización salarial materna: Evidencia para el Perú Abstract:Este estudio examina el papel de la familia extendida en la participación laboral femenina y la brecha salarial por maternidad en el Perú, utilizando datos de la ENAHO 2022-2023. Mediante un modelo de corrección de sesgo de selección de Heckman y descomposiciones salariales, analizamos una muestra de 37,419 mujeres entre 18 y 49 años. Los resultados revelan una paradoja: mientras que vivir con familia extendida reduce la probabilidad de que las madres participen en el mercado laboral, entre las madres empleadas se asocia con mayores ingresos. Sin embargo, la familia extendida explica solo el 3% de la brecha salarial materna total, estimada en 17%, siendo las características del empleo el factor determinante (87% de la brecha explicada). Las madres se concentran desproporcionadamente en trabajos informales, empresas pequeñas y empleo independiente, mientras que las no madres acceden a empleos formales de mejor calidad. Estos hallazgos sugieren que las políticas para reducir la desigualdad de género deben priorizar la mejora de la calidad del empleo femenino y el establecimiento de sistemas formales de cuidado infantil, en lugar de depender exclusivamente de las redes familiares tradicionales. Palabras claves: Brecha salarial de género, penalización por maternidad, familia extendida, participación laboral femenina, segmentación ocupacional, Perú JEL Classification-JE: J16, J31, J13, J21, O15 Keywords: Gender wage gap, motherhood penalty, extended family, female labor force participation, occupational segregation, Peru Length: 60 Creation-Date: 2026 Number: 2026-552 Publication-Status: published File-URL: http://doi.org/10.18800/2079-8474.0552 File-Format: application/pdf Handle: RePEc:pcp:pucwps:wp00552