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Caracterización de la tendencia y componente cíclico del PIB español a través de modelos no lineales

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  • Martínez, José Manuel
  • Espasa, Antoni

Abstract

En este trabajo se presenta un análisis sobre el comportamiento dinámico del crecimiento trimestral del PIB español, analizándose su modelización y cuáIes han sido las innovaciones mas importantes que han afectado a su crecimiento en los últimos 26 años. Se consideran modelos univariantes lineales ARIMA, representaciones con medias segmentadas y modelos no lineales TAR. El hecho de que el comportamiento del PIB español sea distinto durante los periodos de expansión y de recesión justifica la aplicación de modelos no lineales para intentar captar tales características que permiten una interpretabilidad económica más adecuada para esta variable. Los ciclos en el crecimiento del PIB español se pueden caracterizar con tres fases: recesión, crecimiento acelerado y crecimiento desacelerado. En la primera apenas existe dependencia dinámica, en la segunda se registran oscilaciones cíclicas de periodos cortos y en la última la desaceleración es lenta. La entrada y salida de una fase de recesión se debe a perturbaciones que llegan al sistema y no a la propia dinámica de éste. El saldo comercial juega un papel muy relevante en el patrón cíclico de las tres fases del PIB, aportando la mayor parte del crecimiento en el inicio de las recuperaciones.

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  • Martínez, José Manuel & Espasa, Antoni, 1997. "Caracterización de la tendencia y componente cíclico del PIB español a través de modelos no lineales," DES - Documentos de Trabajo. Estadística y Econometría. DS 3646, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:dsrepe:3646
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    1. Martínez, J. Manuel & Espasa, Antoni, 1998. "La demanda de importaciones españolas. Un enfoque VECM desagregado," DES - Documentos de Trabajo. Estadística y Econometría. DS 3662, Universidad Carlos III de Madrid. Departamento de Estadística.

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