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Are Mexican Business Cycles Asymmetrical?

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 th...

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Bibliographic Details
Main Author: Santos, Andre
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 2002
Series:IMF Working Papers
Subjects:
Diffusion Processes
Industrial Production
Financial Services
Industries: General
Real Exchange Rates
Foreign Exchange
Dynamic Treatment Effect Models
Macroeconomics
Business Fluctuations
Dynamic Quantile Regressions
Production
Real Interest Rates
Banks And Banking
Interest Rates: Determination, Term Structure, And Effects
Macroeconomics: Production
Interest Rates
Time-series Models
Prices, Business Fluctuations, And Cycles: General (includes Measurement And Data)
Industries
Cycles
Cyclical Indicators
Currency
Finance
Economic Growth
Business Cycles
Mexico
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
Summary: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
Physical Description:33 pages
ISBN:9781451856972

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