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Depressions In The Colombian Economic Growth During The Xx Century:A Markov Switching Regime Model

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Martha Misas ()
María Teresa Ramírez ()

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Abstract

In this paper, we modeled the Colombian long run economic growth (1925-2003) using a tworegime first order Markov switching model. We found evidence of non-linearity in the annual rate of economic growth. The results show that changes between regimes are sudden and sporadic. The Colombian economy remains in the sustainable growth regime most of the time. The turning points from the Markov switching model capture very well the behavior of real output through time. In fact, they identify the four main depressions of the century.

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Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 002274.

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Length: 16
Date of creation: 30 Jun 2005
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Handle: RePEc:col:000094:002274

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-28, April. [Downloadable!] (restricted)
  2. María Ripoll & Martha Misas & Enrique López, . "Una Descripción del Ciclo Industrial en Colombia," Borradores de Economia 033, Banco de la Republica de Colombia. [Downloadable!]
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  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. [Downloadable!] (restricted)
  4. Pok-sang Lam, 2004. "A Markov-Switching Model Of Gnp Growth With Duration Dependence," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(1), pages 175-204, 02. [Downloadable!] (restricted)
  5. Sichel, Daniel E, 1993. "Business Cycle Asymmetry: A Deeper Look," Economic Inquiry, Oxford University Press, vol. 31(2), pages 224-36, April.
  6. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70. [Downloadable!] (restricted)
  7. Franz A. Hamman & Alvaro Riascos, . "Ciclos Económicos en una Economía Pequeña y Abierta- Una Aplicación para Colombia," Borradores de Economia 089, Banco de la Republica de Colombia. [Downloadable!]
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  8. Robert Breunig & Alison Stegman, 2003. "Testing for Regime Switching in Singaporean Business Cycles," Departmental Working Papers 2003-20, Australian National University, Economics RSPAS. [Downloadable!]
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  9. Filardo, Andrew J. & Gordon, Stephen F., 1998. "Business cycle durations," Journal of Econometrics, Elsevier, vol. 85(1), pages 99-123, July. [Downloadable!] (restricted)
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  1. Mauricio A. Hernández & Munir A. Jalil & Carlos Esteban Posada, . "El Costo de los Ciclos Económicos en Colombia: Una Nueva Estimación," Borradores de Economia 353, Banco de la Republica de Colombia. [Downloadable!]
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  2. Martha Misas & María Teresa Ramírez, 2006. "Colombian economic growth under Markov switching regimes with endogenous transition probabilities," BORRADORES DE ECONOMIA 002148, BANCO DE LA REPÚBLICA. [Downloadable!]
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