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Construyendo un índice coincidente de recesión: Una aplicación para la economía peruana

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  • Mendoza, Liu
  • Morales, Daniel

Abstract

¿Una caída en la producción implica una desaceleración temporal o marca el inicio de una recesión? Para responder esta pregunta, en este documento se construye un índice probabilístico coincidente mensual para detectar recesiones en la economía peruana usando un modelo no lineal del tipo Markov-switching. En la construcción de este índice se pone énfasis al contenido informativo de encuestas a consumidores y empresarios, así como variables reales y financieras internacionales. El índice final detecta con prontitud y confiabilidad el período recesivo asociado con la crisis financiera internacional de 2008-2009, incluso en un análisis en tiempo real. Sin embargo, debido a que este índice ha sido elaborado con información limitada debido a la poca disponibilidad de datos, su capacidad de detección de recesiones futuras aún debe sobrepasar la prueba del tiempo.

Suggested Citation

  • Mendoza, Liu & Morales, Daniel, 2013. "Construyendo un índice coincidente de recesión: Una aplicación para la economía peruana," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 26, pages 81-100.
    • Handle: RePEc:rbp:esteco:ree-26-03
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    References listed on IDEAS

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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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