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Fluctuaciones cíclicas y raíces unitarias en la economía española, 1850-1990

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  • Jordi Pons Novell

    (Universidad de Barcelona)

  • Andreu Sansó Rosselló

    (Universidad de Barcelona)

Abstract

En este artículo se analiza el grado de persistencia de las fluctuaciones cíclicas en la economía española. En concreto se estuda si el PIB y el PIB per cápita de esta economía presentan una raiz unitaria. Con el objetivo de evitar el sesgo a aceptar raíces unitarias cuando se producen cambios en la función de tendencia, como el originado por la Guerra Civil española (1936-1939), se han aplicado diversos contrastes para endogeneizar el punto de ruptura de la función de tendencia. Los resultados obtenidos muestran que existe una importante evidencia en el sentido de que el logaritmo del PIB presenta una raiz unitaria. La principal impllicación de este resultado es que los shocks sobre el producto tienen efectos permanentes en el nivel del PIB de la economía española, aunque dicha hipótesis es más dificil de aceptar en el PIB per cápita dada la evidencia contradictoria encontrada en favor de la misma. In this article, one analyses the persistence degree of the cyclical fluctuations in the Spanish economy, Briefly, one studies wether the GDP and the GDP per capita of this economy have a unit root. In order to avoid athe bias of accepting unit roots whenever some changes in the trend function take place, like the one brought about by the Spanish Civil War. (1936-1939), one has applied different tests to endogeneize the break point of the trend function. The obtaining results show that an important evidence exists in the sense that the log of real GDP has a unit root. The main contradiction of this result is that the shocks over the product have permanent effects on the GDP level of the Spanish economy, although this hypothesis is even more difficult to accept when considering the GDP per capita given the contradictory evidence in favour of this presence.

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Bibliographic Info

Article provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.

Volume (Year): 6 (1996)
Issue (Month): (Diciembre)
Pages: 171-182

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Handle: RePEc:lrk:eeaart:6_3_8

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Keywords: Business; Economic fluctuations; Unit root;

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References

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  1. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
  2. Lucrezia Reichlin & Peter Rappoport, 1989. "Segmented trends and non-stationary time series," ULB Institutional Repository 2013/10169, ULB -- Universite Libre de Bruxelles.
  3. Glenn D. Rudebusch, 1992. "The uncertain unit root in real GNP," Finance and Economics Discussion Series 193, Board of Governors of the Federal Reserve System (U.S.).
  4. Anindya Banerjee & Robin L. Lumsdaine & James H. Stock, 1990. "Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence," NBER Working Papers 3510, National Bureau of Economic Research, Inc.
  5. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
  6. 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.
  7. James G. MacKinnon, 2010. "Critical Values for Cointegration Tests," Working Papers 1227, Queen's University, Department of Economics.
  8. G. William Schwert, 1988. "Tests For Unit Roots: A Monte Carlo Investigation," NBER Technical Working Papers 0073, National Bureau of Economic Research, Inc.
  9. Walton, David R., 1988. "Does GNP have a unit root? : Evidence for the UK," Economics Letters, Elsevier, vol. 26(3), pages 219-224.
  10. Perron, Pierre, 1988. "Trends and random walks in macroeconomic time series : Further evidence from a new approach," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 297-332.
  11. DeJong, David N, et al, 1992. "Integration versus Trend Stationarity in Time Series," Econometrica, Econometric Society, vol. 60(2), pages 423-33, March.
  12. Wynne, Mark, 1992. "Does aggregate output have a unit root?," Economics Letters, Elsevier, vol. 39(2), pages 179-182, June.
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