BUSINESS CYCLES IN LATIN AMERICAN ECONOMY: 1950-2007

Mosar Leandro Ness, Igor Alexandre Clemente de Morais, Angélica Massuquetti

Abstract


This article looks for the existence of common cycles in Latin America between 1950 and 2007. In this study, we used the technique of changing the Markovian regime, which in addition to univariate and multivariate formulations were tested bivariate arrangements. The main results indicate that it is possible to characterize the periods of growth and recessions in Argentina, Brazil, Chile and Mexico, especially in the two oil shocks in the beginning and the end of the 1970s; the crisis of balance of payments; and the problems of relative prices. Despite the existence of causality, bivariate models were tested between Argentina and Brazil, Chile and Mexico. The results suggest that smoothing of cycles, and the existence of movements of adjustment of economies to exogenous shocks that disrupted its dynamics of growth. It was also possible to identify differences in the speed of cyclical adjustment in each economy.


Keywords


Business Cycles, Latin American Economy, Markov Models.

References


AIOLFI, M.; CATÃO, L.; TIMMERMANN, A. Common Factors in Latin America’s Business Cycles. Nova York: IMF Working Paper, 2006.

BÖWER, U.; GUILLEMINEAU, C. Determinants of Business Cycle Syncronisation Across Euro Area Countries. ECB working paper, n. 587, 2006.

BRY, G.; BOSCHAN, C. Cyclical Analysis of Time Series: Selected Procedures and Computer Programs. NBER Technical Paper, 20, 1971.

BURNS, A.; MITCHELL, W. Measuring Business Cycles. New York: National Bureau of Economic Research, 1946.

CHAUVET, M. An Econometric Characterization of Business Cycle Dynamics with Factor Structure and Regime Switching. International Economic Review, Philadelphia, v. 39, n. 4, p. 969-996, 1998.

CHAUVET, M.; MORAIS, I. A. C. Predicting Recessions in Brazil. Rio de Janeiro: FGV/EGPE, 2008.

CHAUVET, M.; POTTER, S. Coincident and Leading Indicators of the Stock Market. Journal of Empirical Finance, v. 7, p. 87-111, 2000.

CLEMENTS, M. P.; KROLZIG, H-M. Business Cycle Asymmetries: Characterization and Testing Based on Markov-Switching Autoregressions. Warwick: University of Warwick/Department of Economics, 1999.

CLEMENTS, M. P.; KROLZIG, H-M. Modeling Business Cycle Features Using Switching Regime Models. Oxford: University of Oxford/Department of Economics, 2001.

CORREA, A. S. Diferenças e Semelhanças entre Países da América Latina: Uma Análise de Markov Switching para os Ciclos Econômicos de Brasil e Argentina. Texto para Discussão Banco Central do Brasil, n.80, 2003.

CORREA, A.S.; HILBRECHT, R. O. Ciclos Internacionais de Negócios: Uma Análise de Mudança de Regime Markoviano para Brasil, Argentina Estados Unidos. Texto para Discussão Banco Central do Brasil, n.88, 2004.

DIEBOLD, F. X.; LEE, J. H.; WEINBACH, G. C. Regime Switching with Time-varying Transition Probabilities. In: HARGREAVES, G. (ed.). Nonstationary Time Series Analysis and Cointegration. Oxford: Oxford University Press, 1994.

FILARDO, A. J. Business-cycle Phases and their Transitional Dynamics. Journal of Business and Economic Statistics, Washington, v. 12, p. 299-308, 1994.

FILARDO, A. J.; GORDON, S. F. Business-cycle Durations. Journal of Econometrics, North-Holland, v.85, p.99-123, 1998.

GARCIA, R. Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models. International Economic Review, Philadelphia v. 39, n. 3, p. 763-788, 1998.

HAMILTON, J. D. A New Approach To the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, Princeton, v. 57, p. 357-384, 1989.

HAMILTON, J. D. A New Approach to the Economic Analysis Of Nonstationary Time Series and the Business Cycle. Econometrica, Princeton, v. 57, p. 357-384, 1989.

HAMILTON, J. D. A Quasi-Bayesian Approach to Estimating Parameters for Mixtures of Normal Distributions. Journal of Business and Economic Statistics, Washington, v. 9, p. 27-39, 1991.

HAMILTON, J. D. Specification Testing in Markov-Switching Time Series Models. Journal of Econometrics, North-Holland, v. 70, p. 127-157, 1996.

HAMILTON, J. D.; SUSMEL, R. Autoregressive Conditional Heteroskedasticity and Changes in Regime. Journal of Econometrics, North-Holland, v. 64, p. 307-333, 1994.

HANSEN, B. E. The Likelihood Ratio Test Under Non-Standard Conditions: Testing the Markov Switching Model of GNP. Journal of Applied Econometrics, Cambridge, n.7, p.61-82, 1992.

KIM, C-J; NELSON, C. R. State-Space Models with Regime Switching – Classical and Gibbs-Sampling Approaches with Apllications. 2. ed. Massachusetts: MIT Press, 2000.

KOSE, A.; OTROK, C.; WHITEMAN, C. H. International Business Cycles: World, Region, and Country-specific Factors. The American Economic Review, ed. 93, v.4, 2003.

KOSE, A.; OTROK, C.; WHITEMAN, C. H. Understanding the Evolution of World Business Cycles. IMF Working Paper, 2005.

KOSE, M. A.; OTROK, C.; PRASAD, E. S. Global Business Cycles: Convergence or Decoupling? NBER working paper, Cambridge, n. 14292, 2008.

KROLZIG, H-M. International Business Cycles: Regime Shifts in the Stochastic Process of Economic Growth. Applied Economics Discussion Paper University of Oxford, n.194, 1997.

KROLZIG, H-M. Statistical Analysis of Cointegrated VAR Processes with Markovian Regime Shifts. Discussion Paper Humboldt Universität zu Berlin, Berlin, n. 25, 1996.

KROLZIG, H-M; MARCELLINO, M.; MIZON, G. E. A Markov-Switching Vector-equilibrium Correction Model of the UK Labour Market. Oxford Working Paper, 2000.

MENDOZA, E., The Terms of Trade, the Real Exchange Rate, and Economic Fluctuations. International Economic Review, Philadelphia, n. 36, p. 101–137, 1995.

SANTOS, A.O., Are Mexican Business Cycles Asymmetrical? IMF Working Paper, 2002.

SHIN, K.; WANG, Y. Trade Integration an Business Cycle Synchronization in East Asia. Asian Economic Papers, vol. 2, p. 1-20, 2003.

SIMONOVSKA, I.; SÖDERLING, L.; TIMMERMANN, A. Business Cycle Accounting for Chile. IMF Working Paper, 2008.

SOSA, M. S. External Shocks and Business Cycle Fluctuations in Mexico: How Important are U.S. Factors? IMF Working Paper, 2008.

STOCK, J. H.; WATSON, M. H. A New Approach to Leading Economic Indicators. Haward University Working Paper, 1988.

STOCK, J. H.; WATSON, M. H. A Probability Model of the Coincident Economic Indicators. In: LAHIRI, K.; MOORE, G. H. Leading Economic Indicator: New Approaches and Forecasting Records. Cambridge: Cambridge University Press, 1991.

STOCK, J. H.; WATSON, M. H. A Procedure for Predicting Recessions with Leading Economic Indicators: Econometric Issues and Recent Experience. In: STOCK, J. H.; WATSON, M. W. Business

Cycles, Indicators and Forecasting. Chicago: University of Chicago, 1993.

STOCK, J. H.; WATSON, M. H. New Indexes of Coincident and Leading Economic Indicators. In: BLANCHARD O.; FISCHER, S. (eds.). NBER Macroeconomics Annual. Massachusetts: MIT Press, 1989.

WORLDBANK. Base de Dados Estatísticos. Disponível em: http://web.worldbank.org/WBSITE/EXTERNAL/DATASTATISTICS/0,,contentMDK:20535285%7EmenuPK:1192694%7EpagePK:64133150%7EpiPK:64133175%7EtheSitePK:239419,00.html Acesso em: 17 maio 2008.

ZARNOWITZ, V. Business Cycles: Theory, History, Indicators, and Forecasting. Chicago: The University of Chicago Press, 1996.




DOI: https://doi.org/10.5902/2236117010591



DEAR AUTHORS,

PLEASE, CHECK CAREFULLY BEFORE YOUR SUBMISSION:

- IF ALL AUTHORS "METADATA" (ORCID, LINK TO LATTES, SHORT BIOGRAPHY, AFFILIATION) WERE ADDED,

- THE CORRECT IDIOM YOUR SECTION,

- IF THE HIGHLIGHTS WERE ADDED,

- IF THE GRAPHIC ABSTRACTS WAS ADDED,

- IF THE REVIEWERS INDICATION WAS DONE,

- IF THE REFERENCES FORMAT ARE CORRECT(ABNT)

- IF THE RESOLUTION YOUR FIGURES (600 DPI) ARE SUITABLE

*******************************

PREZADOS AUTORES,

POR FAVOR, VERIFIQUE ATENTAMENTE ANTES DA SUBMISSÃO: 
- SE OS METADADOS (ORCID, LINK PRO LATTES, CURTA BIOGRAFIA E AFILIAÇÃO) DE "TODOS" OS AUTORES FORAM ADICIONADOS, 
- IDIOMA, 
- SE OS HIGHLIHTS FORAM ADICIONADOS, 
- SE O GRAPHICAL ABSTRACT FOI ADICIONADO, 
- SE A INDICAÇÃO DOS REVISORES FOI FEITA, 
- SE O FORMATO DAS REFERÊNCIAS ESTÁ ADEQUADO (ABNT) 
- SE A RESOLUÇÃO SUAS FIGURAS (600 DPI) ESTÁ ADEQUADA.

 

This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.

 

**************************************************

WE ARE ON FACEBOOK! (You are our guest!)

 

Digital Object Identifier (DOI): 10.5902/22361170

Contact: reget.ufsm@gmail.com

...................................................................................


Accesses since 19/06/2012

...................................................................................

Sponsors: