Análisis de cointegración y valores umbrales entre la inflación y el crecimiento económico en México: 1970-2007

W. Adrián Risso () and Edgar Sánchez Carrera ()
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W. Adrián Risso: Department of Economics, University of Siena

Ensayos Revista de Economia, 2010, vol. XXIX, issue 2, 77-98

Abstract: The aim of this paper is to estimate long run relationships and threshold effects between inflation and economic growth in Mexico. We show the existence of such relationship in a cointegrated vector on Economic Growth (log of real GDP) and Inflation rate finding a corresponding elasticity significantly negative. Moreover, the causal relationship between these two series is studied using a more robust Granger causality test, without finding any directional causality between them. The estimated threshold model suggests 9 percent as the threshold level (i.e., structural break point) of inflation above which inflation significantly slows the Mexican economic growth.

Keywords: cointegration; economic growth; inflation; structural break (search for similar items in EconPapers)
JEL-codes: E31 O40 O42 (search for similar items in EconPapers)
Date: 2010
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