Trends and Cycles: How Important Are Long-and Short-Run Restrictions? The Case of Mexico
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| Format: | Artículo científico |
| Langue: | en |
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El Colegio de México, A.C.
2003
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| _version_ | 1876464118407364608 |
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| author | Ramón A. Castillo |
| author_facet | Ramón A. Castillo |
| contents | Trends and Cycles: How Important Are Long-and Short-Run Restrictions? The Case of Mexico Ramón A. Castillo Jorge Herrera Hernández Economía y Finanzas The document presents a test for the existence of binding long- and short-run (common trend-common cycle) restrictions in the dynamics of a set of Mexican macroeconomic variables. These restrictions are imposed in a VAR to decompose the series into their permanent and transitory components. The analysis shows that the magnitude of transitory (nominal) shocks is underestimated when such restrictions are not considered. In addition, we find that the timing and duration of recession and expansion periods are more accurately estimated when the trend-cycle decomposition is conducted with the imposition of cointegrating (long-run) and common feature (short-run) restrictions. 2003 artículo científico 0188-6916 https://www.redalyc.org/articulo.oa?id=59718105 en http://www.redalyc.org/revista.oa?id=597 Estudios Económicos application/pdf El Colegio de México, A.C. Estudios Económicos (México) Num.1 Vol.18 |
| format | Artículo científico |
| id | redalyc_59718105 |
| institution | Redalyc |
| language | en |
| publishDate | 2003 |
| publisher | El Colegio de México, A.C. |
| spellingShingle | Trends and Cycles: How Important Are Long-and Short-Run Restrictions? The Case of Mexico Ramón A. Castillo Economía y Finanzas Trends and Cycles: How Important Are Long-and Short-Run Restrictions? The Case of Mexico Ramón A. Castillo Jorge Herrera Hernández Economía y Finanzas The document presents a test for the existence of binding long- and short-run (common trend-common cycle) restrictions in the dynamics of a set of Mexican macroeconomic variables. These restrictions are imposed in a VAR to decompose the series into their permanent and transitory components. The analysis shows that the magnitude of transitory (nominal) shocks is underestimated when such restrictions are not considered. In addition, we find that the timing and duration of recession and expansion periods are more accurately estimated when the trend-cycle decomposition is conducted with the imposition of cointegrating (long-run) and common feature (short-run) restrictions. 2003 artículo científico 0188-6916 https://www.redalyc.org/articulo.oa?id=59718105 en http://www.redalyc.org/revista.oa?id=597 Estudios Económicos application/pdf El Colegio de México, A.C. Estudios Económicos (México) Num.1 Vol.18 |
| title | Trends and Cycles: How Important Are Long-and Short-Run Restrictions? The Case of Mexico |
| topic | Economía y Finanzas |
| url | https://www.redalyc.org/articulo.oa?id=59718105 |