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Causalidad y acoplamiento cíclico entre variables macroeconómicas en la conformación de crisis financieras

Author

Listed:
  • Josué Alan Cantú Esquivel

    (Instituto Politécnico Nacional, México)

  • Humberto Rios Bolivar

    (Instituto Politécnico Nacional, México)

  • Ana Lorena Jiménez Preciado

    (Instituto Politécnico Nacional, México)

Abstract

Objetivo: analizar los componentes cíclicos entre variables económicas cuyos acoplamientos instauraron los mecanismos de propagación y causalidad en la formación del ciclo económico de la economía estadounidense. Método: se utiliza la técnica de sincronización de fase en series de tiempo para los componentes cíclicos de las variables sumada a un análisis de causalidad con un modelo VAR (Vectores Autorregresivos). Resultados: se encuentran los mecanismos de propagación entre variables mediante la secuenciación de los ciclos, reflejando los impactos de las decisiones de política monetaria en la economía agregada, transmitiendo inconscientemente ineficiencias en el desempeño y comportamiento de variables financieras y macroeconómicas. Recomendaciones: implementar análisis de componentes principales para capturar mejor los mecanismos de transmisión de política monetaria. Limitaciones e implicaciones: la dinámica de ajuste cíclico no es del todo pertinente para ser modelada en sistemas lineales. Principal contribución: se expone evidencia de una fuerte relación en subsistemas cíclicos de variables y la dinámica de transmisión y causalidad cíclica, revelando la generación de periodos de crisis económicas y financieras debidos a las decisiones de política monetaria.

Suggested Citation

  • Josué Alan Cantú Esquivel & Humberto Rios Bolivar & Ana Lorena Jiménez Preciado, 2023. "Causalidad y acoplamiento cíclico entre variables macroeconómicas en la conformación de crisis financieras," 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. 18(1), pages 1-28, Enero - M.
    • Handle: RePEc:imx:journl:v:18:y:2023:i:1:a:5
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    References listed on IDEAS

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    More about this item

    Keywords

    Ciclo económico; crisis económica; crisis financiera; causalidad entre variables; sincronización de fase;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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