The Effect of COVID-19 on Oil Prices and Economic Cycles in Peru: A Transformation in Macroeconomic Variables (2018-2021)

Abstract

This study analyzes the impact of the COVID-19 pandemic in Peru through the behavior of macroeconomic variables during the 2018-2021 period. Key indicators such as the Consumer Price Index (CPI), Gross Domestic Product (GDP), interest rate, imports, exports, exchange rate, and oil price were examined. Initially, a correlation analysis was conducted among these variables concerning the oil price. The Shapiro-Wilk test was then applied to assess data normality; variables that did not follow a normal distribution were transformed using the Box-Cox and Johnson methods. Subsequently, the Dickey-Fuller and Phillips-Perron tests were performed to verify stationarity, determine the number of lags, and establish the order of integration. A Vector Autoregression (VAR) model was then estimated to analyze the interrelation among the variables, complemented by a Granger causality test and a Structural VAR (SVAR) model. Additionally, the Hodrick-Prescott filter was applied to evaluate long-term trends. Finally, impulse-response functions were generated to examine the effect of shocks on macroeconomic variables in the long run.