Expansions and contractions in Brazil, Colombia and Mexico: A view through nonlinear models

• 成果类型: Article
• 署名作者: Arango, Luis E.; Melo, Luis F.
• 署名单位: Banco de la Republica Colombia
• 刊物名称: JOURNAL OF DEVELOPMENT ECONOMICS
• ISSN/ISSBN: 0304-3878
• DOI: 10.1016/j.jdeveco.2005.02.010
• 发表日期: 2006
• 页码: 501-517
• 关键词: real industrial production index; nonlinearities; STAR models; generalized impulse response function; highest density regions

摘要

The study of asymmetric behavior of macroeconomic variables over business cycles has had a long tradition in economics. In this present work, we find evidence in favor of the hypothesis of having a STAR-type nonlinear asymmetric behavior of the economic activity, over the last two decades, in three Latin American countries: Brazil, Colombia, and Mexico. For Chile and Venezuela, the null hypothesis of a linear process could not be rejected under the method established by Granger and Terasvirta [Granger, C.W.J., Terasvirta, T., 1993. Modelling Nonlinear Relationships. Oxford University Press, New York]. Economic activity is proxied by monthly based industrial production indexes. Evidence of asymmetric behavior is also found according to the generalized impulse response functions analysis for the three countries. (c) 2005 Elsevier B.V. All rights reserved.