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Tendencias Estocásticas Comunes y Fluctuaciones en la Economía Colombiana: 1950-2002

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Author Info
Martha Misas Arango ()
Enrique López Enciso ()
Diego Vásquez Escobar ()

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Abstract

En este documento se utiliza el método de tendencias comunes (common trends) para estudiar los ciclos de las principales variables macroeconómicas colombianas durante el período 1950-2002. Una de las características más atractivas del método de tendencias comunes es que explota la relación de largo plazo que existe entre esas variables y que se deduce de un modelo completo con fundamentos microeconómicos. Se trata en este caso de un modelo de crecimiento neoclásico para una economía abierta el cual es utilizado para derivar los vectores de cointegración teóricos. Con base en estos últimos es posible construir los vectores autoregresivos restringidos que se emplean para examinar las fuentes de las fluctuaciones macroeconómicas. En el trabajo se muestra como las restricciones de cointegración se utilizan para identificar un sistema VAR sujeto a cambios permanentes y transitorios en el crecimiento promedio y como dicho sistema responde a las innovaciones (shocks) a la tendencia.

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Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 003550.

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Length: 43
Date of creation: 31 Jan 2004
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Handle: RePEc:col:000094:003550

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  1. Jacobson, Tor & Jansson, Per & Vredin, Anders & Warne, Anders, 2002. "Identifying the Effects of Monetary Policy Shocks in an Open Economy," Working Paper Series 134, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
  2. Shamik Dhar & Darren Pain & Ryland Thomas, . "A small structural empirical model of the UK monetary transmission mechanism," Bank of England working papers 113, Bank of England. [Downloadable!]
  3. Shoven, John B. & Whalley, John, 1972. "A general equilibrium calculation of the effects of differential taxation of income from capital in the U.S," Journal of Public Economics, Elsevier, vol. 1(3-4), pages 281-321, November. [Downloadable!] (restricted)
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  4. Robert G. King & Charles I. Plosser & James H. Stock & Mark W. Watson, 1991. "Stochastic trends and economic fluctuations," Working Paper Series, Macroeconomic Issues 91-4, Federal Reserve Bank of Chicago.
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  5. Kydland, Finn E & Prescott, Edward C, 1982. "Time to Build and Aggregate Fluctuations," Econometrica, Econometric Society, vol. 50(6), pages 1345-70, November. [Downloadable!] (restricted)
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  6. Cheung, Yin-Wong & Lai, Kon S, 1993. "Finite-Sample Sizes of Johansen's Likelihood Ration Tests for Conintegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 55(3), pages 313-28, August.
  7. Mellander, Erik & Vredin, A & Warne, A, 1992. "Stochastic Trends and Economic Fluctuations in a Small Open Economy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(4), pages 369-94, Oct.-Dec.. [Downloadable!] (restricted)
  8. Dawkins, Christina & Srinivasan, T.N. & Whalley, John, 2001. "Calibration," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 58, pages 3653-3703 Elsevier. [Downloadable!] (restricted)
  9. Finn E. Kydland & Edward C. Prescott, 1990. "The econometrics of the general equilibrium approach to business cycles," Staff Report 130, Federal Reserve Bank of Minneapolis. [Downloadable!]
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  10. Lucas, Robert E., 1977. "Understanding business cycles," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 5(1), pages 7-29, January. [Downloadable!] (restricted)
  11. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. [Downloadable!] (restricted)
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