Are Mexican Business Cycles Asymmetrical?

Andre Santos

No 2002/150, IMF Working Papers from International Monetary Fund

Abstract: We use the regime-switching econometric models in Hamilton (1989) and Filardo (1994) to study business cycles in Mexico. In particular, we characterize the ups and downs of economic activity in Mexico. As a proxy for economic activity, we use the Mexican quarterly industrial production index from the second quarter of 1972 to the third quarter of 1999. We allow the transition probabilities driving changes in economic activity to be a function of fiscal, financial, and external sector indicators. Our results show that recessions in Mexico are deeper and shorter than expansions.

Keywords: WP; real GDP; stock index; economic activity; Regime-switching models; Mexican business cycles; Markov models; composite index indicator; business cycles in Mexico; business cycle in the United States; terms-of-trade shock; indicator of vulnerability; short-term debt; adverse selection; leading indicators of business cycles; stabilization plan; public goods; composite index of vulnerability; Business cycles; Real interest rates; Real exchange rates; Cyclical indicators; Industrial production (search for similar items in EconPapers)
Pages: 33
Date: 2002-09-01
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Citations: View citations in EconPapers (4)

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