IDEAS home Printed from https://ideas.repec.org/a/imx/journl/v16y2021i1a4.html
   My bibliography  Save this article

Dinámica anticipada del PIB trimestral en México ante shocks negativos derivados de factores debidos a la crisis sanitaria del covid-19

Author

Listed:
  • Gustavo Cabrera González

    (Universidad de Guadalajara, México)

  • Adrián de León Arias

    (Universidad de Guadalajara, México)

Abstract

Este artículo presenta los efectos anticipados en la tasa de crecimiento del producto interno bruto (PIB) trimestral de México debido a perturbaciones (shocks) que se espera la afecten en los próximos trimestres, en el contexto de los impactos del covid-19. Con este objetivo, se identifica la especificación econométrica markoviana autorregresiva de mejor ajuste a los datos de la dinámica del crecimiento del PIB de Q1-1960 a Q4-2019, bajo la condición de cuatro regímenes diferentes, dados por cambios en la media y por la volatilidad de la tasa de crecimiento. Posteriormente se introducen shocks negativos que asimilan diversos efectos macroeconómicos derivados del impacto económico del covid-19. En este ejercicio de simulación, la tasa de crecimiento del PIB puede permanecer en recesión de dos a seis trimestres, lo cual depende de la magnitud y persistencia que podrían tener los shocks negativos y a los posibles efectos estabilizadores que incidirán en la producción en México. Esta contribución ofrece un modelo para cuantificar efectos macroeconómicos ante eventos significativos e inesperados, con la limitación de que tales eventos podrían alejarse de distribuciones de probabilidad convencionales.

Suggested Citation

  • Gustavo Cabrera González & Adrián de León Arias, 2021. "Dinámica anticipada del PIB trimestral en México ante shocks negativos derivados de factores debidos a la crisis sanitaria del covid-19," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(1), pages 1-15, Enero - M.
    • Handle: RePEc:imx:journl:v:16:y:2021:i:1:a:4
    as

    Download full text from publisher

    File URL: https://www.remef.org.mx/index.php/remef/article/view/563
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Scott R. Baker & Nicholas Bloom & Steven J. Davis & Stephen J. Terry, 2020. "COVID-Induced Economic Uncertainty," NBER Working Papers 26983, National Bureau of Economic Research, Inc.
    2. Francis X. Diebold & Glenn D. Rudebusch, 1999. "Business Cycles: Durations, Dynamics, and Forecasting," Economics Books, Princeton University Press, edition 1, number 6636.
    3. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
    4. James D. Hamilton & Baldev Raj, 2002. "New directions in business cycle research and financial analysis," Empirical Economics, Springer, vol. 27(2), pages 149-162.
    5. Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1.
    6. Gustavo Cabrera & Semei Coronado & Omar Rojas & Rafael Romero-Meza, 2018. "A Bayesian approach to model changes in volatility in the Mexican stock exchange index," Applied Economics, Taylor & Francis Journals, vol. 50(15), pages 1716-1724, March.
    7. Hafner, Christian M. & Herwartz, Helmut, 2006. "Volatility impulse responses for multivariate GARCH models: An exchange rate illustration," Journal of International Money and Finance, Elsevier, vol. 25(5), pages 719-740, August.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Dagum, Estela Bee, 2010. "Business Cycles and Current Economic Analysis/Los ciclos económicos y el análisis económico actual," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 28, pages 577-594, Diciembre.
    2. Kim, Chang-Jin & Nelson, Charles R, 2001. "A Bayesian Approach to Testing for Markov-Switching in Univariate and Dynamic Factor Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(4), pages 989-1013, November.
    3. Fernando H.P.S Mendes & João Frois Caldeira & Guilherme Valle Moura, 2019. "Duration-dependent Markov-switching model: an empirical study for the Brazilian business cycle," Economics Bulletin, AccessEcon, vol. 39(1), pages 676-685.
    4. Harry X. Wu & Eric Girardin, 2016. "The ‘new’ normal is ‘old’ in China: Very late catching up and return to the (pre-WTO) old normal," EcoMod2016 9721, EcoMod.
    5. Sonia de Lucas Santos & M. Jesús Delgado Rodríguez & Inmaculada Álvarez Ayuso & José Luis Cendejas Bueno, 2011. "Los ciclos económicos internacionales: antecedentes y revisión de la literatura," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, vol. 34(95), pages 73-84, Agosto.
    6. Vincent, BODART & Konstantin, KHOLODILIN & Fati, SHADMAN-MEHTA, 2005. "Identifying and Forecasting the Turning Points of the Belgian Business Cycle with Regime-Switching and Logit Models," Discussion Papers (ECON - Département des Sciences Economiques) 2005006, Université catholique de Louvain, Département des Sciences Economiques.
    7. Beate Schirwitz, 2013. "Business Fluctuations, Job Flows and Trade Unions - Dynamics in the Economy," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 47, May.
    8. Monica Billio & Jacques Anas & Laurent Ferrara & Marco Lo Duca, 2007. "A turning point chronology for the Euro-zone," Working Papers 2007_33, Department of Economics, University of Venice "Ca' Foscari".
    9. Gustavo Cabrera González, 2019. "Modeling and Projection of the Mexican Exchange Rate (Peso/Dollar): a Bayesian Approach for Model Selection," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(2), pages 203-219, Abril-Jun.
    10. Perron, Pierre & Wada, Tatsuma, 2016. "Measuring business cycles with structural breaks and outliers: Applications to international data," Research in Economics, Elsevier, vol. 70(2), pages 281-303.
    11. Peter McAdam, 2007. "USA, Japan and the Euro Area: Comparing Business-Cycle Features," International Review of Applied Economics, Taylor & Francis Journals, vol. 21(1), pages 135-156.
    12. Aastveit, Knut Are & Jore, Anne Sofie & Ravazzolo, Francesco, 2016. "Identification and real-time forecasting of Norwegian business cycles," International Journal of Forecasting, Elsevier, vol. 32(2), pages 283-292.
    13. Chris Birchenhall & Denise Osborn & Marianne Sensier, 2001. "Predicting UK Business Cycle Regimes," Scottish Journal of Political Economy, Scottish Economic Society, vol. 48(2), pages 179-195, May.
    14. Siem Jan Koopman & Joao Valle e Azevedo, 2003. "Measuring Synchronisation and Convergence of Business Cycles," Tinbergen Institute Discussion Papers 03-052/4, Tinbergen Institute.
    15. Veaceslav Grigoras & Irina Eusignia Stanciu, 2016. "New evidence on the (de)synchronisation of business cycles: Reshaping the European business cycle," International Economics, CEPII research center, issue 147, pages 27-52.
    16. Ahking, Francis W., 2014. "Measuring U.S. business cycles: A comparison of two methods and two indicators of economic activities," Journal of Economic and Social Measurement, IOS Press, issue 4, pages 199-216.
    17. Konstantin A. Kholodilin, 2006. "Using the Dynamic Bi-Factor Model with Markov Switching to Predict the Cyclical Turns in the Large European Economies," Discussion Papers of DIW Berlin 554, DIW Berlin, German Institute for Economic Research.
    18. Castro, Vítor, 2010. "The duration of economic expansions and recessions: More than duration dependence," Journal of Macroeconomics, Elsevier, vol. 32(1), pages 347-365, March.
    19. Siem Jan Koopman & Soon Yip Wong, 2006. "Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series," Tinbergen Institute Discussion Papers 06-105/4, Tinbergen Institute.
    20. Marcus Scheiblecker, 2007. "Datierung von Konjunkturwendepunkten in Österreich," WIFO Monatsberichte (monthly reports), WIFO, vol. 80(9), pages 715-730, September.

    More about this item

    Keywords

    PIB; parámetros markovianos; pronóstico; economía mexicana;
    All these keywords.

    JEL classification:

    • O4 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity
    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:imx:journl:v:16:y:2021:i:1:a:4. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ricardo Mendoza (email available below). General contact details of provider: https://www.remef.org.mx/index.php/remef/index .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.