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Análisis de cointegración y valores umbrales entre la inflación y el crecimiento económico en México: 1970-2007

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  • W. Adrián Risso

    ()
    (Department of Economics, University of Siena)

  • Edgar J. Sánchez Carrera

    ()
    (Department of Economics, University of Siena)

Abstract

The aim of this paper is to estimate long run relationships and threshold effects between inflation and economic growth in Mexico. We show the existence of such relationship in a cointegrated vector on Economic Growth (log of real GDP) and Inflation rate finding a corresponding elasticity significantly negative. Moreover, the causal relationship between these two series is studied using a more robust Granger causality test, without finding any directional causality between them. The estimated threshold model suggests 9 percent as the threshold level (i.e., structural break point) of inflation above which inflation significantly slows the Mexican economic growth.

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Bibliographic Info

Article provided by Universidad Autonoma de Nuevo Leon, Facultad de Economia in its journal Ensayos Revista de Economia.

Volume (Year): XXIX (2010)
Issue (Month): 2 (November)
Pages: 77-98

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Handle: RePEc:ere:journl:v:xxix:y:2010:i:2:p:77-98

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Keywords: cointegration; economic growth; inflation; structural break;

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  1. Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
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  3. Javier Andres & Ignacio Hernando, 1997. "Does Inflation Harm Economic Growth? Evidence for the OECD," NBER Working Papers 6062, National Bureau of Economic Research, Inc.
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  7. By Mohsin S. Khan & Abdelhak S. Senhadji, 2001. "Threshold Effects in the Relationship Between Inflation and Growth," IMF Staff Papers, Palgrave Macmillan, vol. 48(1), pages 1.
  8. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
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  12. De Gregorio, Jose, 1996. "Inflation, growth, and central banks : theory and evidence," Policy Research Working Paper Series 1575, The World Bank.
  13. Grier, Robin & Grier, Kevin B., 2006. "On the real effects of inflation and inflation uncertainty in Mexico," Journal of Development Economics, Elsevier, vol. 80(2), pages 478-500, August.
  14. Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211.
  15. Elisabeth Huybens & Bruce D. Smith, 1996. "Financial Market Frictions, Monetary Policy and Capital Accumulation in a Small Open Economy," Working Papers 9608, Centro de Investigacion Economica, ITAM.
  16. Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250.
  17. Atish R. Ghosh & Steven Phillips, 1998. "Inflation, Disinflation, and Growth," IMF Working Papers 98/68, International Monetary Fund.
  18. Michael Sarel, 1995. "Nonlinear Effects of Inflation on Economic Growth," IMF Working Papers 95/56, International Monetary Fund.
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