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Análisis de cointegración y valores umbrales entre la inflación y el crecimiento económico en México: 1970-2007

Author

Listed:
  • W. Adrián Risso

    () (Department of Economics, University of Siena)

  • Edgar J. Sánchez Carrera

    () (Department of Economics, University of Siena)

Abstract

The aim of this paper is to estimate long run relationships and threshold effects between inflation and economic growth in Mexico. We show the existence of such relationship in a cointegrated vector on Economic Growth (log of real GDP) and Inflation rate finding a corresponding elasticity significantly negative. Moreover, the causal relationship between these two series is studied using a more robust Granger causality test, without finding any directional causality between them. The estimated threshold model suggests 9 percent as the threshold level (i.e., structural break point) of inflation above which inflation significantly slows the Mexican economic growth.

Suggested Citation

  • W. Adrián Risso & Edgar J. Sánchez Carrera, 2010. "Análisis de cointegración y valores umbrales entre la inflación y el crecimiento económico en México: 1970-2007," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(2), pages 77-98, November.
  • Handle: RePEc:ere:journl:v:xxix:y:2010:i:2:p:77-98
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    File URL: http://www.economia.uanl.mx/revistaensayos/xxix/2/Risso-Sanchez-Analisis-de-cointegracion.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    cointegration; economic growth; inflation; structural break;

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • O40 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - General
    • O42 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - Monetary Growth Models

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