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Un Modelo de Switching para el Crecimiento en Chile

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  • Christian A. Johnson

Abstract

This article presents a historical analysis of the Chilean monthly growth rate from 1987 to 2000, applying the Switching Regime methodology design by Hamilton (1989). Three scenarios were considered, which imply a number of parameters estimated using the expected maximization iterative procedure (EM). There is a characterization of the conditional density function for each state of the economy, defined by boom, sustainable growth, and finally, an economy in recession. The estimation procedure shows that the economy moved into a recession density function scenario when the Asian Flu was evident in 1998. Currently, we are in the sustainable rate of growth scenario, without inflationary risks. The analysis reveals that the actual monetary policy is correlated with the indications of the monetary policies proposed by the switching model. The mean growth in the three scenarios is 10%, 6%, and -0.1%, implying a potential non-accelerating inflationary rate of growth of around 6%. Based on the conditional probabilities generated from the model, an artificial monetary index is built, that will work as an early warning indicator to help avoid misalignments and signal potentially required future monetary movements.

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Bibliographic Info

Paper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 84.

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Date of creation: Nov 2000
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Handle: RePEc:chb:bcchwp:84

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  1. Hamilton, James D, 1991. "A Quasi-Bayesian Approach to Estimating Parameters for Mixtures of Normal Distributions," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(1), pages 27-39, January.
  2. Simon M. Potter, 1999. "Nonlinear time series modelling: an introduction," Staff Reports 87, Federal Reserve Bank of New York.
  3. 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.
  4. Chang-Jin Kim & Charles R. Nelson, 1999. "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262112388, December.
  5. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
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Cited by:
  1. Idrovo Aguirre, Byron, 2006. "Estimación del spread de tasas de corto y largo plazo: Un indicador de alerta temprana
    [An estimation of short and long term rates spread: a leading indicator]
    ," MPRA Paper 11116, University Library of Munich, Germany, revised 12 Mar 2007.
  2. Byron Idrovo A., 2010. "¿Cuál es el crecimiento de largo plazo de la economía chilena? Una respuesta formal para una antigua pregunta," REVISTA CUADERNOS DE ECONOMÍA, UN - RCE - CID.
  3. Idrovo Aguirre, Byron, 2007. "Los Ciclos del Mercado Inmobiliario y su Relación con los Ciclos de la Economía
    [Housing Market Fluctuations and the Economic Cycles]
    ," MPRA Paper 19365, University Library of Munich, Germany, revised 24 Sep 2007.
  4. 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.
  5. Idrovo Aguirre, Byron & Contreras, Javier, 2009. "Un Modelo SARIMA para Predecir la Tasa de Desempleo de Chile
    [A model SARIMA to predict chilean unemployment]
    ," MPRA Paper 19369, University Library of Munich, Germany, revised 17 Sep 2009.
  6. Cruz-Rodríguez, Alexis, 2004. "Un análisis del ciclo económico de la República Dominicana bajo cambios de régimen
    [Analysis of business cycle of the Dominican Republic using Markov Switching model]
    ," MPRA Paper 54352, University Library of Munich, Germany.

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