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Ciclos Internacionais de Negócios: uma Análise de Mudança de Regime Markoviano para Brasil, Argentina e Estados Unidos

Author

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  • Arnildo da Silva Correa

    (BANCO CENTRAL)

  • Ronald Otto Hillbrecht

    (UFRGS)

Abstract

The aim of this paper is to develop a business cycle analysis for Brazil, Argentina and the United States, emphasizing the regime switches that occurred throughout the economic fluctuations experienced by these countries. Recent studies on business cycles have favored the international business cycles approach. This work intends to test the hypothesis of a common cycle that could contemporaneously affect these countries. The methodology used is the MS-VAR - Markov switching vector autoregressions . Firstly, individual univariate specifications are estimated for the period from 1900 to 2000 and the results compared to stylized facts characteristic of each country. A multivariate model is formulated afterwards to verify the hypothesis of a common cycle, which, in turn, is perceived as simultaneous changes in the stochastic process of growth of these countries. Finally, the results suggest that the evidences favoring the common cycle are little robust. The estimated contemporaneous correlations show rather modest values. Particularly, there are significant differences in the cycles of Brazil, Argentina and the United States, having each one of theses countries its own characteristics and behavior.
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Suggested Citation

  • Arnildo da Silva Correa & Ronald Otto Hillbrecht, 2003. "Ciclos Internacionais de Negócios: uma Análise de Mudança de Regime Markoviano para Brasil, Argentina e Estados Unidos," Anais do XXXI Encontro Nacional de Economia [Proceedings of the 31st Brazilian Economics Meeting] b47, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
  • Handle: RePEc:anp:en2003:b47
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    Cited by:

    1. Marcelo Y. Takami & Benjamin M. Tabak, 2007. "Evaluation of Default Risk for The Brazilian Banking Sector," Working Papers Series 135, Central Bank of Brazil, Research Department.
    2. Areosa, Waldyr Dutra & Areosa, Marta B.M., 2016. "The inequality channel of monetary transmission," Journal of Macroeconomics, Elsevier, vol. 48(C), pages 214-230.
    3. Barbara Alemanni & José Renato Haas Ornelas, 2006. "Herding Behavior by Equity Foreign Investors on Emerging Markets," Working Papers Series 125, Central Bank of Brazil, Research Department.
    4. Mirta Noemí Sataka Bugarin & Roberto de Goes Ellery Jr. & Victor Gomes Silva & Marcelo Kfoury Muinhos, 2005. "Steady State Analysis of an Open Economy General Equilibrium Model for Brazil," Working Papers Series 92, Central Bank of Brazil, Research Department.
    5. Marcelo Kfoury Muinhos & Márcio I. Nakane, 2006. "Comparing equilibrium real interest rates: different approaches to measure Brazilian rates," Working Papers Series 101, Central Bank of Brazil, Research Department.
    6. Márcio I. Nakane & Leonardo S. Alencar & Fabio Kanczuk, 2006. "Demand for Bank Services and Market Power in Brazilian Banking," Working Papers Series 107, Central Bank of Brazil, Research Department.
    7. Sergio R. S. Souza & Benjamin M. Tabak & Daniel O. Cajueiro, 2008. "Long-Range Dependence In Exchange Rates: The Case Of The European Monetary System," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(02), pages 199-223.
    8. Fernando H.P.S Mendes & João Frois Caldeira & Guilherme Valle Moura, 2019. "Duration-dependent Markov-switching model: an empirical study for the Brazilian business cycle," Economics Bulletin, AccessEcon, vol. 39(1), pages 676-685.
    9. Mauricio S. Bugarin & Fabia A. de Carvalho, 2005. "Comment on ‘Market discipline and monetary policy’ by Carl Walsh," Oxford Economic Papers, Oxford University Press, vol. 57(4), pages 732-739, October.
    10. Maria da Glória D. S. Araújo & Mirta Bugarin & Marcelo Kfoury Muinhos & Jose Ricardo C. Silva, 2006. "The Effect of Adverse Supply Shocks on Monetary Policy and Output," Working Papers Series 103, Central Bank of Brazil, Research Department.
    11. Ana Carla A. Costa & João M. P. de Mello, 2006. "Judicial Risk and Credit Market Performance: Micro Evidence from Brazil Payroll Loans," Working Papers Series 102, Central Bank of Brazil, Research Department.
    12. Angelo Marsiglia Fasolo, 2006. "Interdependence and Contagion: an Analysis of Information Transmission in Latin America's Stock Markets," Working Papers Series 112, Central Bank of Brazil, Research Department.

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