El ciclo econÃ³mico en Uruguay - Un modelo de Switching Regimes
AbstractThis paper presents an empirical characterization of Uruguayanâ€™s Business Cycle applying the Switching Regime methodology; three scenarios were considered: recession, moderate growth and boom. The relation between regional and Uruguayanâ€™s business cycle is analyzed through the same model; instead, in order to study the relation between the international and Uruguayanâ€™ business cycle, a model proposed by Kim and Nelson (1999) based on the Hamiltonâ€™s original model (1989) is used to modelling the U.S. real GNP. The conditional probabilities of being in the three states at each point of the sample reproduce in a reasonable way the evolution of the economic activity in the period ; these probabilities have similar evolutions in Argentina and Uruguay. Likewise, only is able to observe a boom state in Uruguay if the U.S economy were in the fast growth state; also, the international recessions have a strong influence in the regional and local business cycle. Finally, some considerations are made related to the level of the GNP on the long run and the changes in the permanent income if the consumers knew with certainty that a specific regime had started
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Econometric Society in its series Econometric Society 2004 Latin American Meetings with number 111.
Date of creation: 11 Aug 2004
Date of revision:
Contact details of provider:
Phone: 1 212 998 3820
Fax: 1 212 995 4487
Web page: http://www.econometricsociety.org/pastmeetings.asp
More information through EDIRC
Business Cycles; Regime Switching.;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-10-30 (All new papers)
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.:
- Robert A Buckle & David Haugh & Peter Thomson, 2002. "Growth and volatility regime switching models for New Zealand GDP data," Treasury Working Paper Series 02/08, New Zealand Treasury.
- James H. Stock & Mark W. Watson, 1989.
"New Indexes of Coincident and Leading Economic Indicators,"
in: NBER Macroeconomics Annual 1989, Volume 4, pages 351-409
National Bureau of Economic Research, Inc.
- Stock, J.H. & Watson, M.W., 1989. "New Indexes Of Coincident And Leading Economic Indicators," Papers 178d, Harvard - J.F. Kennedy School of Government.
- Lars Peter Hansen & Thomas J. Sargent, 1993.
"Recursive linear models of dynamic economies,"
Federal Reserve Bank of San Francisco, issue Mar.
- 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.
- Gerhard Bry & Charlotte Boschan, 1971. "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs," NBER Books, National Bureau of Economic Research, Inc, number bry_71-1, May.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).
If references are entirely missing, you can add them using this form.