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

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Author Info
Luis Eduardo Arango ()
Luis Fernando Melo ()

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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 behavior of the economic activity, over the last two decades, in three Latin American countries: Brazil, Colombia, and Mexico. For Chile and Venezuela the null hypothesis of a linear process could not be rejected under the method placed by Granger and Teräsvirta (1993). Economic activity is proxied by monthly based industrial production indexes. Evidence of asymmetric behavior is also found according to the generalized impulse response functions analysis for the three countries.

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Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 002691.

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Length: 22
Date of creation: 30 Sep 2001
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Handle: RePEc:col:000094:002691

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  1. Baldwin, Richard & Krugman, Paul, 1989. "Persistent Trade Effects of Large Exchange Rate Shocks," The Quarterly Journal of Economics, MIT Press, vol. 104(4), pages 635-54, November. [Downloadable!] (restricted)
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  2. J. Bradford DeLong & Lawrence H. Summers, 1988. "How Does Macroeconomic Policy Affect Output?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 19(1988-2), pages 433-494. [Downloadable!]
  3. Michael Boldin, 1999. "Should Policy Makers Worry about Asymmetries in the Business Cycle?," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 3(4), pages 203-220. [Downloadable!] (restricted)
  4. Peel, D A & Speight, A E H, 1998. "Threshold Nonlinearities in Output: Some International Evidence," Applied Economics, Taylor and Francis Journals, vol. 30(3), pages 323-33, March. [Downloadable!] (restricted)
  5. Cristina Fernández & Andrés González, . "Integración y Vulneralidad Externa en Colombia," Borradores de Economia 156, Banco de la Republica de Colombia. [Downloadable!]
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  6. 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)
  7. Acemoglu, Daron & Scott, Andrew, 1994. "Asymmetries in the Cyclical Behaviour of UK Labour Markets," Economic Journal, Royal Economic Society, vol. 104(427), pages 1303-23, November. [Downloadable!] (restricted)
  8. repec:fth:harver:1418 is not listed on IDEAS
  9. J. Bradford De Long & Lawrence H. Summers, . "How Does Macroeconomic Policy Matter?," J. Bradford De Long's Working Papers _130, University of California at Berkeley, Economics Department. [Downloadable!]
  10. 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. [Downloadable!] (restricted)
  11. Simpson, Paul W & Osborn, Denise R & Sensier, Marianne, 2001. "Modelling Business Cycle Movements in the UK Economy," Economica, London School of Economics and Political Science, vol. 68(270), pages 243-67, May. [Downloadable!] (restricted)
  12. Kontolemis, Zenon G, 1997. "Does Growth Vary over the Business Cycle? Some Evidence from the G7 Countries," Economica, London School of Economics and Political Science, vol. 64(255), pages 441-60, August. [Downloadable!] (restricted)
  13. Lundbergh, Stefan & Teräsvirta, Timo, 2000. "Forecasting with smooth transition autoregressive models," Working Paper Series in Economics and Finance 390, Stockholm School of Economics.
  14. Chetty, V. K. & Heckman, J. J., 1986. "A dynamic model of aggregate output supply, factor demand and entry and exit for a competitive industry with heterogeneous plants," Journal of Econometrics, Elsevier, vol. 33(1-2), pages 237-262. [Downloadable!] (restricted)
  15. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September. [Downloadable!] (restricted)
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Cited by:
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  1. 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. [Downloadable!]
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