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Boom-Bust Cycles and Crisis Periods in the Philippines : A Regime-Switching Analysis

Author

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  • Carlos C. Bautista

    (College of Business Administration, University of the Philippines Diliman, Quezon City)

Abstract

This study examines Philippine macroeconomic fluctuations using Markov regime-switching techniques. Using all available GDP data, an annual and a quarterly model are constructed to explain Philippine boom-bust cycles as switches into any of three states — a moderate growth state, a low growth state and a crisis state. The number and labeling of states are based on historical events. The annual model shows adequate tracking ability. The quarterly model reveals a finer classification of the bust phase into low growth states and crisis states for the 1990-decade — a result that does not appear in the annual model. The crisis dates determined by the quarterly model closely correspond to the four crisis episodes that occurred between 1981 and 1999.

Suggested Citation

  • Carlos C. Bautista, 2002. "Boom-Bust Cycles and Crisis Periods in the Philippines : A Regime-Switching Analysis," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, vol. 39(1), pages 20-37, June.
    • Handle: RePEc:phs:prejrn:v:39:y:2002:i:1:p:20-37
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    File URL: http://pre.econ.upd.edu.ph/index.php/pre/article/view/54/559
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    Cited by:

    1. Martha Misas & María Teresa Ramírez, 2005. "Depressions In The Colombian Economic Growth During The Xx Century:A Markov Switching Regime Model," Borradores de Economia 2274, Banco de la Republica.
    2. C. C. Bautista, 2003. "Stock market volatility in the Philippines," Applied Economics Letters, Taylor & Francis Journals, vol. 10(5), pages 315-318, April.
    3. Chong, Terence Tai Leung & Yan, Isabel K., 2014. "Estimating and Testing Threshold Regression Models with Multiple Threshold Variables," MPRA Paper 54732, University Library of Munich, Germany.

    More about this item

    Keywords

    Boom-bust cycles; macroeconomic fluctuations; Markov regime-switching;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • O11 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Macroeconomic Analyses of Economic Development

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