IDEAS home Printed from https://ideas.repec.org/p/wpa/wuwpdc/0408002.html
   My bibliography  Save this paper

New Directions in Latin American Macroeconometrics

Author

Listed:
  • Thomas M Fullerton Jr

    (University of Texas at El Paso)

  • Eiichi Araki

    (St. Andrews Univesity at Osaka)

Abstract

An overview of modeling and forecasting methodologies for price trends and other macroeconomic variables in Latin America is provided. Five approaches are reviewed within the time series and econometric traditions from which they are selected. Each method is reviewed within the context of data constraints commonly encountered throughout the region.

Suggested Citation

  • Thomas M Fullerton Jr & Eiichi Araki, 2004. "New Directions in Latin American Macroeconometrics," Development and Comp Systems 0408002, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpdc:0408002
    Note: Type of Document - doc; pages: 14
    as

    Download full text from publisher

    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/dev/papers/0408/0408002.doc.gz
    Download Restriction: no
    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/dev/papers/0408/0408002.pdf
    Download Restriction: no
    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/dev/papers/0408/0408002.ps.gz
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Runkle, David E, 1987. "Vector Autoregressions and Reality," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 437-442, October.
    2. Thomas M Fullerton Jr, 2004. "Currency Movements and International Border Crossings," Urban/Regional 0407008, University Library of Munich, Germany.
    3. repec:bla:scandj:v:93:y:1991:i:2:p:283-314 is not listed on IDEAS
    4. Thomas M Fullerton Jr, 2004. "A Composite Approach to Forecasting State Government Revenues," Public Economics 0408006, University Library of Munich, Germany.
    5. Nadeem U. Haque & Kajal Lahiri & Peter J. Montiel, 1990. "A Macroeconometric Model for Developing Countries," IMF Staff Papers, Palgrave Macmillan, vol. 37(3), pages 537-559, September.
    6. Thomas M Fullerton Jr, 2004. "Confessions of an International Forecaster," Econometrics 0409006, University Library of Munich, Germany.
    7. Tomas M Fullerton & Ajay Kapur, 1991. "Predicción de multiplicadores monetarios en Colombia, Ecuador y Venezuela," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 35, pages 53-86.
    8. Palma, Pedro A. & Fontiveros, Domingo, 1988. "A comparative sensitivity analysis of the MODVEN VII macroeconomic model for Venezuela," Economic Modelling, Elsevier, vol. 5(4), pages 286-346, October.
    9. Thomas M Fullerton Jr, 2004. "Short-Run Price Movements in Ecuador," Macroeconomics 0407028, University Library of Munich, Germany.
    10. Kamas, Linda, 1995. "Monetary policy and inflation under the crawling peg: Some evidence from VARs for Colombia," Journal of Development Economics, Elsevier, vol. 46(1), pages 145-161, February.
    11. Thomas M. Fullerton, 1993. "Un modelo macroeconométrico para pronosticar la economía colombiana," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 12(24), pages 101-136, December.
    12. Runkle, David E, 1987. "Vector Autoregressions and Reality: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 454-454, October.
    13. David E. Runkle, 1987. "Vector autoregressions and reality," Staff Report 107, Federal Reserve Bank of Minneapolis.
    14. Clemen, Robert T., 1989. "Combining forecasts: A review and annotated bibliography," International Journal of Forecasting, Elsevier, vol. 5(4), pages 559-583.
    15. Lutkepohl, Helmut, 1990. "Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models," The Review of Economics and Statistics, MIT Press, vol. 72(1), pages 116-125, February.
    16. Edwards, Sebastian, 1993. "Openness, Trade Liberalization, and Growth in Developing Countries," Journal of Economic Literature, American Economic Association, vol. 31(3), pages 1358-1393, September.
    17. Fullerton, Thomas Jr., 1993. "Inflationary trends in Colombia," Journal of Policy Modeling, Elsevier, vol. 15(4), pages 463-468, August.
    18. Carl F. Christ, 1993. "Assessing applied econometric results," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 71-94.
    19. Ize, Alain & Salas, Javier, 1985. "Prices and output in the Mexican economy Emperical testing of alternative hypotheses," Journal of Development Economics, Elsevier, vol. 17(3), pages 175-199, April.
    20. Davidson, James E H, et al, 1978. "Econometric Modelling of the Aggregate Time-Series Relationship between Consumers' Expenditure and Income in the United Kingdom," Economic Journal, Royal Economic Society, vol. 88(352), pages 661-692, December.
    21. Leiderman, Leonardo, 1984. "On the monetary-macro dynamics of Colombia and Mexico," Journal of Development Economics, Elsevier, vol. 14(1), pages 183-201.
    22. Zellner, A., 1992. ""Time Series Analysis, Forecasting and Econometric Modeling : The Structural Econometric Modeling , Time Series Analysis (SEMTSA) Approach"," Papers 90-92-22, California Irvine - School of Social Sciences.
    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. Thomas M. Fullerton JR., 2001. "Specification of a Borderplex Econometric Forecasting Model," International Regional Science Review, , vol. 24(2), pages 245-260, April.
    2. Thomas Fullerton & Miwa Hattori & Cuauhtémoc Calderón, 2001. "Error correction exchange rate modeling: Evidence for Mexico," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 25(3), pages 358-368, September.
    3. Thomas M Fullerton Jr, 2004. "Cross Border Business Cycle (Impacts on Commercial Electricity Demand," Urban/Regional 0407010, University Library of Munich, Germany.
    4. Thomas M. Fullerton, Jr., 1999. "Inflationary pressure determinants in México," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 14(1), pages 33-51.
    5. Alejandro D. Jacobo, 2002. "Taking the business cycle´s pulse to some Latin American economies: Is there a rhythmical beat?," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 17(2), pages 219-245.
    6. Thomas M Fullerton Jr & Eiichi Araki, 2004. "A Theoretical Model of Industrial Economy Inflationary Dynamics," Macroeconomics 0408007, University Library of Munich, Germany.
    7. Thomas M Fullerton Jr & Roberto Tinajero, 2004. "Short-Run Price Dynamics in Mexico," Macroeconomics 0407027, University Library of Munich, Germany.

    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. Thomas M. Fullerton, Jr., 1999. "Inflationary pressure determinants in México," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 14(1), pages 33-51.
    2. Thomas M Fullerton Jr & Sylvanus I Ikhide, 2004. "An Econometric Analysis of the Nigerian Consumer Price Index," Development and Comp Systems 0407010, University Library of Munich, Germany.
    3. Ansari, M. I., 1996. "Monetary vs. fiscal policy: Some evidence from vector autoregression for India," Journal of Asian Economics, Elsevier, vol. 7(4), pages 677-698.
    4. Brüggemann, Ralf & Jentsch, Carsten & Trenkler, Carsten, 2016. "Inference in VARs with conditional heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 191(1), pages 69-85.
    5. Jonathan H. Wright, 2000. "Exact confidence intervals for impulse responses in a Gaussian vector autoregression," International Finance Discussion Papers 682, Board of Governors of the Federal Reserve System (U.S.).
    6. Jose Tavares & Rossen Valkanov, 2001. "The neglected effect of fiscal policy on stock and bond returns," Nova SBE Working Paper Series wp413, Universidade Nova de Lisboa, Nova School of Business and Economics.
    7. Hendry, David F. & Mizon, Grayham E., 2001. "Reformulating empirical macro-econometric modelling," Discussion Paper Series In Economics And Econometrics 104, Economics Division, School of Social Sciences, University of Southampton.
    8. Jin, Jang C., 2006. "Openness, growth, and inflation: Evidence from South Korea before the economic crisis," Journal of Asian Economics, Elsevier, vol. 17(4), pages 738-757, October.
    9. Sergio Ocampo & Norberto Rodríguez, 2011. "An Introductory Review of a Structural VAR-X Estimation and Applications," Borradores de Economia 9200, Banco de la Republica.
    10. Hendry, David F. & Mizon, Grayham E., 2001. "Reformulating empirical macro-econometric modelling," Discussion Paper Series In Economics And Econometrics 0104, Economics Division, School of Social Sciences, University of Southampton.
    11. Granger, Clive W. J. & Jeon, Yongil, 2004. "Thick modeling," Economic Modelling, Elsevier, vol. 21(2), pages 323-343, March.
    12. Pesavento, Elena & Rossi, Barbara, 2007. "Impulse response confidence intervals for persistent data: What have we learned?," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2398-2412, July.
    13. Jin, Jang C., 2006. "Can openness be an engine of sustained high growth rates and inflation?: Evidence from Japan and Korea," International Review of Economics & Finance, Elsevier, vol. 15(2), pages 228-240.
    14. Muriel Barlet & Marie-Émilie Clerc & Marguerite Garnero & Vincent Lapègue & Vincent Marcus, 2012. "La nouvelle version du modèle MZE, modèle macroéconométrique pour la zone euro : Des intervalles de confiance pour contrôler les résultats variantiels," Économie et Statistique, Programme National Persée, vol. 451(1), pages 155-177.
    15. Wright, Jonathan H., 1999. "Frequency domain inference for univariate impulse responses," Economics Letters, Elsevier, vol. 63(3), pages 269-277, June.
    16. Pao-Lin Tien, 2009. "Using Long-Run Restrictions to Investigate the Sources of Exchange Rate Fluctuations," Wesleyan Economics Working Papers 2009-004, Wesleyan University, Department of Economics.
    17. Craighead, William D. & Tien, Pao-Lin, 2015. "Nominal shocks and real exchange rates: Evidence from two centuries," Journal of International Money and Finance, Elsevier, vol. 56(C), pages 135-157.
    18. Albis, Manuel Leonard F. & Mapa, Dennis S., 2014. "Bayesian Averaging of Classical Estimates in Asymmetric Vector Autoregressive (AVAR) Models," MPRA Paper 55902, University Library of Munich, Germany.
    19. Kilian, Lutz & Chang, Pao-Li, 2000. "How accurate are confidence intervals for impulse responses in large VAR models?," Economics Letters, Elsevier, vol. 69(3), pages 299-307, December.
    20. Monika Blaszkiewicz-Schwartzman, 2007. "Explaining Exchange Rate Movements in New Member States of the European Union: Nominal and Real Convergence," Money Macro and Finance (MMF) Research Group Conference 2006 144, Money Macro and Finance Research Group.

    More about this item

    Keywords

    Latin America; Macroeconometrics; Time Series;
    All these keywords.

    JEL classification:

    • O11 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Macroeconomic Analyses of Economic Development

    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:wpa:wuwpdc:0408002. 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: EconWPA (email available below). General contact details of provider: https://econwpa.ub.uni-muenchen.de .

    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.