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Tendencias Estocásticas Comunes y Fluctuaciones en la Economía Colombiana: 1950-2002

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Listed:
  • Martha Misas Arango
  • Enrique López Enciso
  • Diego Vásquez Escobar

Abstract

En este documento se utiliza el método de tendencias comunes (common trends) para estudiar los ciclos de las principales variables macroeconómicas colombianas durante el período 1950-2002. Una de las características más atractivas del método de tendencias comunes es que explota la relación de largo plazo que existe entre esas variables y que se deduce de un modelo completo con fundamentos microeconómicos. Se trata en este caso de un modelo de crecimiento neoclásico para una economía abierta el cual es utilizado para derivar los vectores de cointegración teóricos. Con base en estos últimos es posible construir los vectores autoregresivos restringidos que se emplean para examinar las fuentes de las fluctuaciones macroeconómicas. En el trabajo se muestra como las restricciones de cointegración se utilizan para identificar un sistema VAR sujeto a cambios permanentes y transitorios en el crecimiento promedio y como dicho sistema responde a las innovaciones (shocks) a la tendencia.

Suggested Citation

  • Martha Misas Arango & Enrique López Enciso & Diego Vásquez Escobar, 2004. "Tendencias Estocásticas Comunes y Fluctuaciones en la Economía Colombiana: 1950-2002," Borradores de Economia 3550, Banco de la Republica.
    • Handle: RePEc:col:000094:003550
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    References listed on IDEAS

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