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Depressions In The Colombian Economic Growth During The Xx Century:A Markov Switching Regime Model

  • Martha Misas

    ()

  • María Teresa Ramírez

    ()

In this paper, we modeled the Colombian long run economic growth (1925-2003) using a tworegime first order Markov switching model. We found evidence of non-linearity in the annual rate of economic growth. The results show that changes between regimes are sudden and sporadic. The Colombian economy remains in the sustainable growth regime most of the time. The turning points from the Markov switching model capture very well the behavior of real output through time. In fact, they identify the four main depressions of the century.

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Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 002274.

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Length: 16
Date of creation: 30 Jun 2005
Date of revision:
Handle: RePEc:col:000094:002274
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  1. T C Mills & P Wang, 2003. "Estimating the Permanent and Transitory Components of the UK Business Cycle," Economic Issues Journal Articles, Economic Issues, vol. 8(1), pages 1-14, March.
  2. Filardo, Andrew J. & Gordon, Stephen F., 1998. "Business cycle durations," Journal of Econometrics, Elsevier, vol. 85(1), pages 99-123, July.
  3. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
  4. Franz A. Hamman & Alvaro Riascos, . "Ciclos Económicos en una Economía Pequeña y Abierta- Una Aplicación para Colombia," Borradores de Economia 089, Banco de la Republica de Colombia.
  5. Robert A. Buckle & David Haugh & Peter Thomson, 2004. "Markov Switching Models for GDP Growth in a Small Open Economy: The New Zealand Experience," Journal of Business Cycle Measurement and Analysis, OECD Publishing,Centre for International Research on Economic Tendency Surveys, vol. 2004(2), pages 227-257.
  6. Martha Misas A. & Marla Ripoll N. & Enrique López E., 1995. "Una Descripción Del Ciclo Industrial En Colombia," BORRADORES DE ECONOMIA 003707, BANCO DE LA REPÚBLICA.
  7. Daniel E. Sichel, 1989. "Business cycle asymmetry: a deeper look," Working Paper Series / Economic Activity Section 93, Board of Governors of the Federal Reserve System (U.S.).
  8. Pok-sang Lam, 2004. "A Markov-Switching Model Of Gnp Growth With Duration Dependence," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(1), pages 175-204, 02.
  9. Arango, Luis E. & Melo, Luis F., 2006. "Expansions and contractions in Brazil, Colombia and Mexico: A view through nonlinear models," Journal of Development Economics, Elsevier, vol. 80(2), pages 501-517, August.
  10. 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.
  11. Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-28, April.
  12. Robert Breunig & Alison Stegman, 2005. "Testing For Regime Switching In Singaporean Business Cycles," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 50(01), pages 25-34.
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