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Inflación y crecimiento. Un modelo de covarianza condicional para la Argentina

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  • Lanteri, Luis N.

Abstract

This paper shows the effects of uncertainty of economic growth and inflation on average rates of output growth and inflation, using quarterly data of Argentina, during the last three decades. The paper employs a GARCH-M model (VARMA model) that permits to test diagonality and symmetry relationships between the variables. The results suggest that increased growth uncertainty is associated with significantly higher average output growth (theory of precautionary savings), while higher inflation uncertainty is correlated with lower average output growth (Okun, 1971, and Friedman, 1977, arguments). Both inflation and economic growth show evidence of significant asymmetric response to positive and negative shocks of equal magnitude.// Este trabajo analiza los efectos de la incertidumbre de las tasas de crecimiento del producto real (PIB real) y de las tasas de inflación en las tasas promedio de crecimiento del producto y de la inflación, empleando datos trimestrales de la Argentina, correspondientes a los tres decenios pasados. Para ello se utiliza un modelo GARCH-M, denominado VARMA, que permite probar las hipótesis de ausencia de asimetría y de diagonalidad del proceso de (varianzas) covarianza. Algunos de los resultados del trabajo sugieren que una mayor incertidumbre del crecimiento del producto estaría asociada con mayor crecimiento (teoría del motivo precautorio del ahorro), mientras que la mayor incertidumbre de la inflación reduciría el crecimiento económico, tal como afirman Okun (1971) y Friedman (1977). A su vez, tanto la inflación como el crecimiento del producto mostrarían una respuesta asimétrica significativa a los choques positivos y negativos de igual magnitud.

Suggested Citation

  • Lanteri, Luis N., 2005. "Inflación y crecimiento. Un modelo de covarianza condicional para la Argentina," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(288), pages 823-845, octubre-d.
  • Handle: RePEc:elt:journl:v:72:y:2005:i:288:p:823-845
    DOI: http://dx.doi.org/10.20430/ete.v72i288.562
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    More about this item

    Keywords

    crecimiento; inflación; incertidumbre; asimetría; no diagonalidad; covarianza condicional;
    All these keywords.

    JEL classification:

    • E39 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Other

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