Expansions and Contractions in Some Latin American Countries: A view Throught Non-Linear Models

Luis Eduardo Arango Thomas () and Luis Melo ()

Borradores de Economia from Banco de la Republica de Colombia

Abstract: The study of the asymmetric behavior of macroeconomic variables over the business cycles phases has had a long tradition in economics. In this work we find evidence in favor of the hypothesis of having a Star-type nonlinear asymmetric behavoir of the economy activity, over the last two decades, in four Latin American countries: Brazil, Chile, Colombia and Mexico. For Venezuela the null hypothesis of a linear process could not be rejected under the method placed by Granger and Terasvirta (1993). Economic activity is proxied by monthly based industrial production indexes. Except for the case of Mexico we arrive to asymmetric representations of the processes. However, evidence of asymmetric behavoir is found according to the impulse response function analysis for all the countries.

Keywords: Real industrial production index; nonlinearties; STAR models; impulse responses (search for similar items in EconPapers)
JEL-codes: C22 C52 (search for similar items in EconPapers)
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Related works:
Working Paper: Expansions and Contractions in Some Latin American Countries: A View Throught Non- Linear Models (2001)
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Persistent link: http://EconPapers.repec.org/RePEc:bdr:borrec:186

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