Modelling nonlinearities in Mexican output growth
(Documento de investigación 91)
This paper aims to contribute to the understanding of the Mexican output growth performance by using the smooth transition regression (STR) model introduced by Teräsvirta (1998). We model output growth as a function of the depreciation rate, the inflation rate and the US output growth. The most sensible model implies asymmetric dynamics related to the business cycle phases. In particular, the depreciation rate has negative effects only during expansions and the inflation rate has negative effects during recessions and very small positive effects during expansions. Whilst, there appears to be a positive association between the output growth of the Mexican and the US economies only during recessions, but there seems to be no relation during expansions. Although interesting, these results are not definite and further analysis should be carried out.
Año : 2004
Páginas : 18
Referencias Específicas
DI0910332 (
