IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/67387.html
   My bibliography  Save this paper

Back-splicing of cement production and characterization of its economic cycle: The case of Chile (1991-2015)

Author

Listed:
  • Idrovo Aguirre, Byron
  • Contreras, Javier

Abstract

Cement is a non-storable input in the medium- and long-term. The evidence in Chile shows that cement supply and demand are in relative equilibrium, so the demand or supply of this input can measure the activity in the structural construction or work. The aim of this paper is to backcast the series of cement production since January 2009, using as an instrument the connection of the series of cement sales, available on a monthly basis from 1991- 2013. To this end, we apply the Johansen cointegration method. Then, a model of state-space is proposed to characterize the cycle of cement production, taking its connection with investment in construction into account. Indeed, cement production, technically, is a leading indicator of sectoral investment.

Suggested Citation

  • Idrovo Aguirre, Byron & Contreras, Javier, 2015. "Back-splicing of cement production and characterization of its economic cycle: The case of Chile (1991-2015)," MPRA Paper 67387, University Library of Munich, Germany, revised 20 Sep 2015.
    • Handle: RePEc:pra:mprapa:67387
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/67387/1/MPRA_paper_67387.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Byron Idrovo A., 2010. "¿Cuál es el crecimiento de largo plazo de la economía chilena? Una respuesta formal para una antigua pregunta," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, December.
    2. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    3. Clark, Peter K., 1989. "Trend reversion in real output and unemployment," Journal of Econometrics, Elsevier, vol. 40(1), pages 15-32, January.
    4. Aranoff, Gerald, 2011. "Competitive manufacturing with fluctuating demand and diverse technology: Mathematical proofs and illuminations on industry output-flexibility," Economic Modelling, Elsevier, vol. 28(3), pages 1441-1450, May.
    5. Idrovo Aguirre, Byron, 2012. "Inversión en infraestructura pública y crecimiento económico, evidencia para Chile [Public infrastructure, investment and economic growth in Chile]," MPRA Paper 39857, University Library of Munich, Germany.
    6. William Crowder & Mark Wohar, 2004. "A cointegrated structural VAR model of the Canadian economy," Applied Economics, Taylor & Francis Journals, vol. 36(3), pages 195-213.
    7. Andrew C. Harvey, 1990. "The Econometric Analysis of Time Series, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 026208189x, December.
    8. Rangan Gupta & Patrick T. Kanda & Mampho P. Modise & Alessia Paccagnini, 2015. "DSGE model-based forecasting of modelled and nonmodelled inflation variables in South Africa," Applied Economics, Taylor & Francis Journals, vol. 47(3), pages 207-221, January.
    9. Cerda, Rodrigo & Vergara, Rodrigo, 2008. "Government Subsidies and Presidential Election Outcomes: Evidence for a Developing Country," World Development, Elsevier, vol. 36(11), pages 2470-2488, November.
    10. Javier Contreras-Reyes & Wilfredo Palma, 2013. "Statistical analysis of autoregressive fractionally integrated moving average models in R," Computational Statistics, Springer, vol. 28(5), pages 2309-2331, October.
    11. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    12. Andrew Harvey, 2011. "Modelling the Phillips curve with unobserved components," Applied Financial Economics, Taylor & Francis Journals, vol. 21(1-2), pages 7-17.
    13. MacKinnon, James G & Haug, Alfred A & Michelis, Leo, 1999. "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 563-577, Sept.-Oct.
    14. Ari Aisen & Ingrid Jones J., 2009. "Modelo de Corto Plazo para Proyectar el Empleo de la Construcción," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 12(2), pages 77-82, August.
    15. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
    16. Norman, G, 1979. "Economies of Scale in the Cement Industry," Journal of Industrial Economics, Wiley Blackwell, vol. 27(4), pages 317-337, June.
    17. Diaz-Alejandro, Carlos, 1985. "Good-bye financial repression, hello financial crash," Journal of Development Economics, Elsevier, vol. 19(1-2), pages 1-24.
    18. Humphrey, Christopher & Loft, Anne & Woods, Margaret, 2009. "The global audit profession and the international financial architecture: Understanding regulatory relationships at a time of financial crisis," Accounting, Organizations and Society, Elsevier, vol. 34(6-7), pages 810-825, August.
    19. Héctor Felipe Bravo & Leonardo Luna & Víctor Correa & Francisco Ruiz, 2002. "Desestacionalización de Series Económicas: el Procedimiento Usado por el Banco Central de Chile," Working Papers Central Bank of Chile 177, Central Bank of Chile.
    20. Javier Contreras-Reyes & Byron Idrovo, 2011. "En busca de un modelo Benchmark univariado para predecir la tasa de desempleo," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, December.
    21. Chang-Jin Kim & Charles R. Nelson, 1999. "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262112388, December.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Byron J. Idrovo-Aguirre & Javier E. Contreras-Reyes, 2019. "Backcasting cement production and characterizing cement’s economic cycles for Chile 1991–2015," Empirical Economics, Springer, vol. 57(5), pages 1829-1852, November.
    2. Ansgar Belke & Robert Czudaj, 2010. "Is Euro Area Money Demand (Still) Stable? Cointegrated VAR Versus Single Equation Techniques," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, vol. 56(4), pages 285-315.
    3. Jeremy B. Rudd & Karl Whelan, 2002. "A note on the cointegration of consumption, income, and wealth," Finance and Economics Discussion Series 2002-53, Board of Governors of the Federal Reserve System (U.S.).
    4. Sulaiman, Saidu & Masih, Mansur, 2017. "Is liberalizing finance the game in town for Nigeria ?," MPRA Paper 95569, University Library of Munich, Germany.
    5. Minoas Koukouritakis & Leo Michelis, 2008. "The term structure of interest rates in the 12 newest EU countries," Applied Economics, Taylor & Francis Journals, vol. 40(4), pages 479-490.
    6. Norman J. Morin, 2006. "Likelihood ratio tests on cointegrating vectors, disequilibrium adjustment vectors, and their orthogonal complements," Finance and Economics Discussion Series 2006-21, Board of Governors of the Federal Reserve System (U.S.).
    7. Hallin, M. & van den Akker, R. & Werker, B.J.M., 2012. "Rank-based Tests of the Cointegrating Rank in Semiparametric Error Correction Models," Other publications TiSEM bc68a2f2-3ca3-443c-b3ac-f, Tilburg University, School of Economics and Management.
    8. Shehu Usman Rano Aliyu, 2010. "Exchange rate volatility and export trade in Nigeria: an empirical investigation," Applied Financial Economics, Taylor & Francis Journals, vol. 20(13), pages 1071-1084.
    9. Robaina, M. & Madaleno, M. & Silva, S. & Eusébio, C. & Carneiro, M.J. & Gama, C. & Oliveira, K. & Russo, M.A. & Monteiro, A., 2020. "The relationship between tourism and air quality in five European countries," Economic Analysis and Policy, Elsevier, vol. 67(C), pages 261-272.
    10. Miguel Carvalho & Paulo Júlio, 2012. "Digging out the PPP hypothesis: an integrated empirical coverage," Empirical Economics, Springer, vol. 42(3), pages 713-744, June.
    11. Black, Angela J. & Fraser, Patricia & McMillan, David G., 2007. "Are international value premiums driven by the same set of fundamentals?," International Review of Economics & Finance, Elsevier, vol. 16(1), pages 113-129.
    12. Minoas Koukouritakis & Leo Michelis, 2005. "Enlargement and Eurozone: Convergence or Divergence," Working Papers 0504, University of Crete, Department of Economics.
    13. da Silva, Patricia Pereira & Moreno, Blanca & Figueiredo, Nuno Carvalho, 2016. "Firm-specific impacts of CO2 prices on the stock market value of the Spanish power industry," Energy Policy, Elsevier, vol. 94(C), pages 492-501.
    14. Hallin, M. & Werker, B.J.M. & van den Akker, R., 2015. "Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models," Other publications TiSEM d1b040c9-db57-4e55-846f-4, Tilburg University, School of Economics and Management.
    15. Minoas Koukouritakis & Leo Michelis, 2005. "The Term Structures of Interest Rates in the New and Prospective EU Countries," Working Papers 0505, University of Crete, Department of Economics.
    16. Hallin, Marc & van den Akker, Ramon & Werker, Bas J.M., 2016. "Semiparametric error-correction models for cointegration with trends: Pseudo-Gaussian and optimal rank-based tests of the cointegration rank," Journal of Econometrics, Elsevier, vol. 190(1), pages 46-61.
    17. Kirstin Hubrich & Helmut Lutkepohl & Pentti Saikkonen, 2001. "A Review Of Systems Cointegration Tests," Econometric Reviews, Taylor & Francis Journals, vol. 20(3), pages 247-318.
    18. Xiarchos, Irene M. & Fletcher, Jerald J., 2009. "Price and volatility transmission between primary and scrap metal markets," Resources, Conservation & Recycling, Elsevier, vol. 53(12), pages 664-673.
    19. Jeremy Rudd & Karl Whelan, 2006. "Empirical Proxies for the Consumption-Wealth Ratio," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 9(1), pages 34-51, January.
    20. Neil R. Ericsson & James G. MacKinnon, 2002. "Distributions of error correction tests for cointegration," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 285-318, June.

    More about this item

    Keywords

    cement; construction investment; retropolation; cointegration; state-space; Chile;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:67387. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.