IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this paper

Expansions and Contractions in Some Latin American Countries: A view Throught Non-Linear Models

Author Info

  • Luis Eduardo Arango

    ()

  • Luis Fernando Melo

    ()

Abstract

The study of the asymmetric behavior of macroeconomic variables over the business cycles phases has had a long tradition in economics. In this work we find evidence in favor of the hypothesis of having a Star-type nonlinear asymmetric behavoir of the economy activity, over the last two decades, in four Latin American countries: Brazil, Chile, Colombia and Mexico. For Venezuela the null hypothesis of a linear process could not be rejected under the method placed by Granger and Terasvirta (1993). Economic activity is proxied by monthly based industrial production indexes. Except for the case of Mexico we arrive to asymmetric representations of the processes. However, evidence of asymmetric behavoir is found according to the impulse response function analysis for all the countries.

Download Info

If 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.

File URL: http://www.banrep.gov.co/docum/ftp/borra186.pdf
Download Restriction: no

Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 186.

as
in new window

Length:
Date of creation:
Date of revision:
Handle: RePEc:bdr:borrec:186
Contact details of provider: Postal:
Cra 7 # 14-78 Semi-sótano

Phone: (57-1) 3431111
Fax: (57-1) 2841686
Web page: http://www.banrep.gov.co/es/publicaciones-buscador/23
Email:


More information through EDIRC

Keywords: Real industrial production index; nonlinearties; STAR models; impulse responses;

Other versions of this item:

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; Diffusion Processes
  • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

This paper has been announced in the following NEP Reports:

References listed on IDEAS
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.:

as in new window
  1. D. A. Peel & A. E. H. Speight, 1998. "Threshold nonlinearities in output: some international evidence," Applied Economics, Taylor & Francis Journals, vol. 30(3), pages 323-333.
  2. Chetty, V. K. & Heckman, J. J., 1986. "A dynamic model of aggregate output supply, factor demand and entry and exit for a competitive industry with heterogeneous plants," Journal of Econometrics, Elsevier, vol. 33(1-2), pages 237-262.
  3. Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S119-36, Suppl. De.
  4. Robert B. Davies, 2002. "Hypothesis testing when a nuisance parameter is present only under the alternative: Linear model case," Biometrika, Biometrika Trust, vol. 89(2), pages 484-489, June.
  5. repec:fth:harver:1418 is not listed on IDEAS
  6. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
  7. Acemoglu, Daron & Scott, Andrew, 1994. "Asymmetries in the Cyclical Behaviour of UK Labour Markets," Economic Journal, Royal Economic Society, vol. 104(427), pages 1303-23, November.
  8. J. Bradford DeLong & Lawrence H. Summers, 1988. "How Does Macroeconomic Policy Affect Output?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 19(2), pages 433-494.
  9. Clive W. Granger & Timo Terasvirta & Heather M. Anderson, 1993. "Modeling Nonlinearity over the Business Cycle," NBER Chapters, in: Business Cycles, Indicators and Forecasting, pages 311-326 National Bureau of Economic Research, Inc.
  10. Kontolemis, Zenon G, 1997. "Does Growth Vary over the Business Cycle? Some Evidence from the G7 Countries," Economica, London School of Economics and Political Science, vol. 64(255), pages 441-60, August.
  11. Cristina Fernández & Andrés González, 2000. "Integracion Y Vulnerabilidad Externa En Colombia," BORRADORES DE ECONOMIA 002901, BANCO DE LA REPÚBLICA.
  12. Lundbergh, Stefan & Teräsvirta, Timo, 2000. "Forecasting with smooth transition autoregressive models," SSE/EFI Working Paper Series in Economics and Finance 390, Stockholm School of Economics.
  13. J. Bradford De Long & Lawrence H. Summers, . "How Does Macroeconomic Policy Matter?," J. Bradford De Long's Working Papers _130, University of California at Berkeley, Economics Department.
  14. Boldin Michael D., 1999. "Should Policy Makers Worry about Asymmetries in the Business Cycle?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 3(4), pages 1-20, January.
  15. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
  16. Simpson, Paul W & Osborn, Denise R & Sensier, Marianne, 2001. "Modelling Business Cycle Movements in the UK Economy," Economica, London School of Economics and Political Science, vol. 68(270), pages 243-67, May.
  17. Richard Baldwin & Paul R. Krugman, 1986. "Persistent Trade Effects of Large Exchage Rate Shocks," NBER Working Papers 2017, National Bureau of Economic Research, Inc.
Full references (including those not matched with items on IDEAS)

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

as in new window


Cited by:

  1. Luis E Arango & Luz Adriana Flórez & Angélica M Arosemena, 2005. "El Tramo Corto de la Estructura a Plazo como Predictor de Expectativas de la Actividad Económica en Colombia," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 42(125), pages 79-101.
  2. Carlos Esteban Posada, 2002. "Modelos de crecimiento y estilos de desarrollo: varias precisiones y una conjetura," REVISTA APUNTES DEL CENES, UNIVERSIDAD PEDAGOGICA Y TECNOLOGICA DE COLOMBIA, June.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Access and download statistics

When requesting a correction, please mention this item's handle: RePEc:bdr:borrec:186. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Clorith Angélica Bahos Olivera)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.