Caracterización de las fluctuaciones cíclicas en la economía uruguaya

This paper provides an empirical analysis of the business cycle regularities of the Uruguayan economy from 1975 to 1994, using quarterly macroeconomic data. The method of estimation of the cyclical components is based on the application of the Hodrick-Prescott filter to the unobserved trend-cycle components estimated from reduced-form univariate models. The method used to estimate cyclical components offers two advantages over the procedures usually found in the literature. First, the cyclical component is extracted from time series that have been previously seasonally-adjusted using a method which explicitly takes into account the specific characteristics of the data generating process. Second, given that irregular components are excluded from the estimation of the final cyclical components, correlations considered in the characterization of the business cycle are not affected by non-systematic oscillations (noise) in the data. Overall, the pattern observed in the cyclical comovements of the aggregate supply and demand components as well as their levels of relative variability are similar to those observed for other countries. However, some features seem to be specific to the Uruguayan economy: procyclical and low volatility public sector expenditure, cyclical lag of monetary aggregate fluctuations and countercyclical interest rates. Furthermore, exports, ex-ante real interest rates in local currency and the GDP of Argentina and Brazil behave as leading indicators of the reference cycle of the Uruguayan economy.