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Asymmetries and Common Cycles in Latin America: Evidence from Markov-Switching Models

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  • Pablo Mejía-Reyes

    ()
    (El Colegio Mexiquense, A.C. Zinacantepec, E.M. Mexico)

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    Abstract

    Markov-switching models are estimated to characterise expansions and contractions for Latin American countries. In general, univariate analysis results imply that recessions are deeper in absolute magnitude, less persistent, and more volatile than expansions. From an international perspective, it is found that there is not a common Latin American cycle, but there exists some evidence about common regime shifts and cycles between Brazil-Peru and Chile-United States. However, it seems that their causes are very different and related to common shocks and similar policies. Therefore, it is concluded that individual business cycles are largely independent in Latin America.

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    File URL: http://www.economiamexicana.cide.edu/num_anteriores/IX-2/04_PABLO_MEJIA_189-225.pdf
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    Bibliographic Info

    Article provided by in its journal Economia Mexicana NUEVA EPOCA.

    Volume (Year): IX (2000)
    Issue (Month): 2 (July-December)
    Pages: 189-225

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    Handle: RePEc:emc:ecomex:v:9:y:2000:i:2:p:189-225

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    1. Robert F. Engle & João Victor Issler, 1993. "Common trends and common cycles in Latin America," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 47(2), pages 149-176, April.
    2. Sichel, Daniel E, 1989. "Are Business Cycles Asymmetric? A Correction," Journal of Political Economy, University of Chicago Press, vol. 97(5), pages 1255-60, October.
    3. Alexander W. Hoffmaister & Jorge Roldos, 1997. "Are Business Cycles Different in Asia and Latin America?," IMF Working Papers 97/9, International Monetary Fund.
    4. Sichel, D.E., 1988. "Business Cycle Asymmetry: A Deeper Look," Papers 85, Princeton, Department of Economics - Financial Research Center.
    5. Miguel A. Kiguel & Nissan Liviatan, 1995. "Stopping Three Big Inflations: Argentina, Brazil, and Peru," NBER Chapters, in: Reform, Recovery, and Growth: Latin America and the Middle East, pages 369-414 National Bureau of Economic Research, Inc.
    6. Jorge Roldos & Alexander W. Hoffmaister, 1996. "The Sources of Macroeconomic Fluctuations in Developing Countries," IMF Working Papers 96/20, International Monetary Fund.
    7. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
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    9. Engel, Charles & Hamilton, James D, 1990. "Long Swings in the Dollar: Are They in the Data and Do Markets Know It?," American Economic Review, American Economic Association, vol. 80(4), pages 689-713, September.
    10. Canova, Fabio & Dellas, Harris, 1993. "Trade interdependence and the international business cycle," Journal of International Economics, Elsevier, vol. 34(1-2), pages 23-47, February.
    11. Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-28, April.
    12. Aldo A. Arnaudo & Alejandro D. Jacobo, 1997. "Macroeconomic homogeneity within Mercosur: An overview," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 12(1), pages 37-51.
    13. John James Mora, 1997. "No linealidades y ciclos asimétricos en el PIB colombiano," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 12(2), pages 183-195.
    14. Phillips, Kerk L., 1991. "A two-country model of stochastic output with changes in regime," Journal of International Economics, Elsevier, vol. 31(1-2), pages 121-142, August.
    15. Michael P. Clements & Hans-Martin Krolzig, 1998. "A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages C47-C75.
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    Cited by:
    1. Rodolphe Blavy & Luciana Juvenal, 2008. "Mexico's integration into NAFTA markets: a view from sectoral real exchange rates," Working Papers 2008-046, Federal Reserve Bank of St. Louis.
    2. Luciana Juvenal & Rodolphe Blavy, 2008. "Mexico'S Integration Into Nafta Markets," IMF Working Papers 08/123, International Monetary Fund.
    3. C. Emre Alper, 2000. "Stylized Facts of Business Cycles, Excess Volatility and Capital Flows: Evidence from Mexico and Turkey," Working Papers 2000/11, Bogazici University, Department of Economics.

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