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El ciclo económico en Uruguay - Un modelo de Switching Regimes

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  • Alejandro R. Pena Sanchez

Abstract

This paper presents an empirical characterization of Uruguayan’s Business Cycle applying the Switching Regime methodology; three scenarios were considered: recession, moderate growth and boom. The relation between regional and Uruguayan’s business cycle is analyzed through the same model; instead, in order to study the relation between the international and Uruguayan’ business cycle, a model proposed by Kim and Nelson (1999) based on the Hamilton’s original model (1989) is used to modelling the U.S. real GNP. The conditional probabilities of being in the three states at each point of the sample reproduce in a reasonable way the evolution of the economic activity in the period ; these probabilities have similar evolutions in Argentina and Uruguay. Likewise, only is able to observe a boom state in Uruguay if the U.S economy were in the fast growth state; also, the international recessions have a strong influence in the regional and local business cycle. Finally, some considerations are made related to the level of the GNP on the long run and the changes in the permanent income if the consumers knew with certainty that a specific regime had started

Suggested Citation

  • Alejandro R. Pena Sanchez, 2004. "El ciclo económico en Uruguay - Un modelo de Switching Regimes," Econometric Society 2004 Latin American Meetings 111, Econometric Society.
    • Handle: RePEc:ecm:latm04:111
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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