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Temporary and Permanent Components of Colombia's Output

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  • Luis Eduardo Arango

    ()

Abstract

Structural time series models, frequency domain analysis, the HP-filetr, and the Blanchard-Quah decomposition, are used to observe, some peculiarities of the business cycle. Such properties are those related the volatility of the temporary component and the duration of the business cycle during both 1925-1994 and 1950-1994. For the longer period we find that cycles between three and six years seem to be the most important for the variability of output; volatility is greater for GDP than for per capita GDP, except when the processes are linearly detrended. For period 1950-1994. GDP, except when the processes are linearly detrended. For period 1950-1994. Although the linear trend plus cycle model does not perform very well, cycles of about eight years seem to be most important for the cycle. The results of the Blanchard and Quah decomposition show that demand shocks have important explanatory attributes for output fluctuations. However, supply shocks, are dominant in the behaviour of output.

Suggested Citation

  • Luis Eduardo Arango, 1998. "Temporary and Permanent Components of Colombia's Output," Borradores de Economia 096, Banco de la Republica de Colombia.
  • Handle: RePEc:bdr:borrec:096
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    Cited by:

    1. Luis Eduardo Arango & Ana María Iregui & Luis Fernando Melo, 2003. "Recent Behavior of Output, Unemployment, Wages and Prices in Colombia:What went Wrong?," Borradores de Economia 249, Banco de la Republica de Colombia.
    2. Cristina Fernández & Andrés González G., 2000. "Integración y vulnerabilidad externa en Colombia," COYUNTURA ECONÓMICA, FEDESARROLLO, December.
    3. Viviana Alejandra Alfonso & Luis Eduardo Arango & Fernando Arias & José David Pulido, 2011. "Ciclos de negocios en Colombia: 1980-2010," Borradores de Economia 651, Banco de la Republica de Colombia.
    4. Wilman Gómez & Carlos Esteban Posada, 2004. "Un "Choque" del Activo Externo Neto y el Ciclo Económico Colombiano," Borradores de Economia 285, Banco de la Republica de Colombia.
    5. Luis Eduardo Arango & IREGUI, Ana María & MELO, Luis F., 2006. "Recent macroeconomic performance in colombia: what went wrong?," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO, June.
    6. Mauricio A. Hernández M. & Munir A. Jalil B. & Carlos Esteban Posada P., 2007. "El Costo De Los Ciclos Económicos En Colombia: Una Nueva Estimación," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 25(53), pages 288-335, January.
    7. Martha Misas & Carlos Esteban Posada, 2000. "Crecimiento y Ciclos Económicos en Colombia en el Siglo XX: El aporte de un VAR Estructural," Borradores de Economia 155, Banco de la Republica de Colombia.

    More about this item

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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