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Real exchange rate and bussiness cycles in Latin America...
Real exchange rate and bussiness cycles in Latin America: a non-linear approach
(Documentos de Investigación 67)
This paper analyses the dynamics of the growth rate of real GDP per capita for a group of four Latin American countries (Argentina, Brazil, Chile and Mexico). We model the non-linear dynamics over the business cycle using smooth transition model with the real exchange rate as a leading indicator. Generally the smooth transition models fit the data better than linear models. We have found some evidence of the real exchange rate leading the cycle of Argentina, Chile and Mexico. The analysis of the dynamics of the estimated models by means of the generalised impulse response functions suggests the existence of regime-dependent and shock sign/ size dependent effects in most cases and those responses seem to have a plausible interpretation.
Año : 2002