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Expansions and Contractions in Some Latin American Countries: A view Throught Non-Linear Models

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  • Luis Eduardo Arango

    ()

  • Luis Fernando Melo

    ()

Abstract

The study of the asymmetric behavior of macroeconomic variables over the business cycles phases has had a long tradition in economics. In this work we find evidence in favor of the hypothesis of having a Star-type nonlinear asymmetric behavoir of the economy activity, over the last two decades, in four Latin American countries: Brazil, Chile, Colombia and Mexico. For Venezuela the null hypothesis of a linear process could not be rejected under the method placed by Granger and Terasvirta (1993). Economic activity is proxied by monthly based industrial production indexes. Except for the case of Mexico we arrive to asymmetric representations of the processes. However, evidence of asymmetric behavoir is found according to the impulse response function analysis for all the countries.

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Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 186.

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Handle: RePEc:bdr:borrec:186

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Keywords: Real industrial production index; nonlinearties; STAR models; impulse responses;

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  16. repec:fth:harver:1418 is not listed on IDEAS
  17. Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S119-36, Suppl. De.
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Cited by:
  1. Carlos Esteban Posada, 2002. "Modelos de crecimiento y estilos de desarrollo: varias precisiones y una conjetura," REVISTA APUNTES DEL CENES, UNIVERSIDAD PEDAGOGICA Y TECNOLOGICA DE COLOMBIA.
  2. Luis Eduardo Arango & Luz Adriana Flórez & Angélica María Arosemena, . "El Tramo Corto de la Estructura a Plazo como Predictor de Expectativas de la Actividad Económica en Colombia," Borradores de Economia 279, Banco de la Republica de Colombia.

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