IDEAS home Printed from https://ideas.repec.org/p/pcp/pucwps/wp00284.html
   My bibliography  Save this paper

Application of three non-linear econometric approaches to identify business cycles in Peru

Author

Listed:
  • Gabriel Rodríguez

    (Departamento de Economía - Pontificia Universidad Católica del Perú)

Abstract

I use three non-linear econometric models to identify and analyze business cycles in the Peruvian economy for the period 1980:1-2008:4. The models are the Smooth Transition Autoregressive (STAR) model suggested by Teräsvirta (1994), the extended version of the Markov-Switching model proposed by Hamilton (1989), and the plucking model of Friedman (1964, 1993). The results indicate strong rejection of the null hypothesis of linearity. The majority of models identify quarters concentrated around 1988-1989 and 1990-1991 as recession times. Other important events which happened in the Peruvian economy (natural disaster in 1983, e¤ects of the Asian and Russian crises in 1990s, terrorist activities in 1980s) are not selected except as atypical observations. Most of models also identify the period 1995:1-2008:4 as a very long and stable period of moderate-high growth rates. From the perspective of the Peruvian economic history and from a statistical point of view, the MSIAH(3) model is the preferred model.

Suggested Citation

  • Gabriel Rodríguez, 2010. "Application of three non-linear econometric approaches to identify business cycles in Peru," Documentos de Trabajo / Working Papers 2010-284, Departamento de Economía - Pontificia Universidad Católica del Perú.
    • Handle: RePEc:pcp:pucwps:wp00284
    as

    Download full text from publisher

    File URL: http://files.pucp.edu.pe/departamento/economia/DDD284.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages 119-136, Suppl. De.
    2. Kim, Chang-Jin & Nelson, Charles R, 1999. "Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 31(3), pages 317-334, August.
    3. Nadal De Simone, Francisco & Clarke, Sean, 2007. "Asymmetry in business fluctuations: International evidence on Friedman's plucking model," Journal of International Money and Finance, Elsevier, vol. 26(1), pages 64-85, February.
    4. Beatriz C. Galvao, Ana, 2002. "Can non-linear time series models generate US business cycle asymmetric shape?," Economics Letters, Elsevier, vol. 77(2), pages 187-194, October.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Bazán, Walter, 2011. "No-linealidades y asimetrías en el crédito peruano," Working Papers 2011-015, Banco Central de Reserva del Perú.
    2. Mendoza, Liu & Morales, Daniel, 2013. "Construyendo un índice coincidente de recesión: Una aplicación para la economía peruana," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 26, pages 81-100.
    3. Mendoza, Liu & Morales, Daniel, 2012. "Constructing a real-time coincident recession index: an application to the Peruvian economy," Working Papers 2012-020, Banco Central de Reserva del Perú.

    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. Rodriguez Gabriel, 2007. "Application of Three Alternative Approaches to Identify Business Cycles in Peru," Working Papers 2007-007, Banco Central de Reserva del Perú.
    2. Giuseppe Diana & Pierre‐Guillaume Méon, 2008. "Monetary Policy in the Presence of Asymmetric Wage Indexation," Southern Economic Journal, John Wiley & Sons, vol. 75(1), pages 69-90, July.
    3. Lopes, Artur Silva & Zsurkis, Gabriel Florin, 2017. "Are linear models really unuseful to describe business cycle data?," Economics Discussion Papers 2017-5, Kiel Institute for the World Economy (IfW Kiel).
    4. Artur Silva Lopes & Gabriel Florin Zsurkis, 2019. "Are linear models really unuseful to describe business cycle data?," Applied Economics, Taylor & Francis Journals, vol. 51(22), pages 2355-2376, May.
    5. Kamel Helali, 2022. "Markov Switching-Vector AutoRegression Model Analysis of the Economic and Growth Cycles in Tunisia and Its Main European Partners," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 13(1), pages 656-686, March.
    6. David Mayes & Matti Virén, 2010. "The Impact of Asset Prices and their Information Value for Monetary Policy," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 28(61), pages 134-167, August.
    7. João Paulo Martin Faleiros & Denisard Cnéio de Oliveira Alves, 2006. "Não Linearidade Nos Ciclos De Negócios: Modelo Auto-Regressivo “Smooth Transition” Para O Índice Geral De Produção Industrial Brasileiro E Bens De Capital," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting] 10, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    8. Jing Lian Suah, 2024. "The "plucking" model of the unemployment rate floor: Corss-country estimates and empirics," BIS Working Papers 1159, Bank for International Settlements.
    9. Ángel Guillén & Gabriel Rodríguez, 2014. "Trend-cycle decomposition for Peruvian GDP: application of an alternative method," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 23(1), pages 1-44, December.
    10. Herrerias, M.J. & Ordóñez, J., 2014. "If the United States sneezes, does the world need “pain-killers”?," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 159-170.
    11. Silva Lopes, Artur C. & Florin Zsurkis, Gabriel, 2015. "Revisiting non-linearities in business cycles around the world," MPRA Paper 65668, University Library of Munich, Germany.
    12. Medhioub, Imed, 2007. "Asymétrie des cycles économiques et changement de régimes : cas de la Tunisie," L'Actualité Economique, Société Canadienne de Science Economique, vol. 83(4), pages 529-553, décembre.
    13. Aslanidis, Nektarios & Christiansen, Charlotte, 2012. "Smooth transition patterns in the realized stock–bond correlation," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 454-464.
    14. Coudert, Virginie & Mignon, Valérie, 2013. "The “forward premium puzzle” and the sovereign default risk," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 491-511.
    15. Bel, K. & Paap, R., 2013. "Modeling the impact of forecast-based regime switches on macroeconomic time series," Econometric Institute Research Papers EI 2013-25, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    16. Richard H. Clarida & Mark P. Taylor, 2003. "Nonlinear Permanent - Temporary Decompositions in Macroeconomics and Finance," Economic Journal, Royal Economic Society, vol. 113(486), pages 125-139, March.
    17. Nowak, Sylwia & Anderson, Heather M., 2014. "How does public information affect the frequency of trading in airline stocks?," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 26-38.
    18. Aslanidis, Nektarios, 2007. "Business Cycle Regimes in CEECs Production: A Threshold SURE Approach," Working Papers 2072/5318, Universitat Rovira i Virgili, Department of Economics.
    19. Mohamed CHIKHI & Claude DIEBOLT, 2022. "Testing the weak form efficiency of the French ETF market with the LSTAR-ANLSTGARCH approach using a semiparametric estimation," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 13, pages 228-253, June.
    20. Toshiya Ishikawa, 2004. "Technology Diffusion and Business Cycle Asymmetry," DEGIT Conference Papers c009_016, DEGIT, Dynamics, Economic Growth, and International Trade.

    More about this item

    Keywords

    Nonlinearities; Asymmetries; STARModel; Markov-Switching Model; Plucking Model; Recession Times;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

    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:pcp:pucwps:wp00284. 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: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/depucpe.html .

    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.