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Non-linearities over the business cycles: evidence from...

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Recurrent, frequent and deep contractions in Latin American countries may suggest that linear models could hardly represent the dynamics of economic growth.
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Non-linearities over the business cycles: evidence from Latin America

(Documentos de Instigación 60)

Mejía Reyes, Pablo/Osborn Denise R./Sensier, Marianne

 

Recurrent, frequent and deep contractions in Latin American countries may suggest that linear models could hardly represent the dynamics of economic growth. In this paper, smooth transition regression (STR) models are specified, estimated and evaluated to analyse non-linearities and asymmetries over the business cycle of eight Latin American countries (Argentina, Bolivia, Brazil, Chile, Colombia, Mexico, Peru and Venezuela). In particular, non-linearities associated with asymmetries in the magnitudes of contractions and expansions are modelled as smooth changes in the intercept while evidence of regime-dependent volatility is also reported. The investment to GDP ratio or real exchange rates are used as explanatory variables and/ or transition variables. In some cases regime dependent effects of the real exchange rate on growth are also found. The results suggest that these models capture the nature of the business cycle, as measured by real GDP per capita growth rate, better than linear models. The dynamics of the estimated models are investigated by using generalised impulse response functions.

Año : 2001

Páginas :47

DI0600228
49 Libros

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