IMF Working Papers

Are Mexican Business Cycles Asymmetrical?

By Andre O Santos

September 1, 2002

Download PDF

Preview Citation

Format: Chicago

Andre O Santos. Are Mexican Business Cycles Asymmetrical?, (USA: International Monetary Fund, 2002) accessed November 21, 2024
Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

We use the regime-switching econometric models in Hamilton (1989) and Filardo (1994) to study business cycles in Mexico. In particular, we characterize the ups and downs of economic activity in Mexico. As a proxy for economic activity, we use the Mexican quarterly industrial production index from the second quarter of 1972 to the third quarter of 1999. We allow the transition probabilities driving changes in economic activity to be a function of fiscal, financial, and external sector indicators. Our results show that recessions in Mexico are deeper and shorter than expansions.

Subject: Business cycles, Cyclical indicators, Economic growth, Financial services, Foreign exchange, Industrial production, Production, Real exchange rates, Real interest rates

Keywords: Adverse selection, Business cycle in the United States, Business cycles, Business cycles in Mexico, Composite index indicator, Composite index of vulnerability, Cyclical indicators, Economic activity, Indicator of vulnerability, Industrial production, Leading indicators of business cycles, Markov models, Mexican business cycles, Public goods, Real exchange rates, Real GDP, Real interest rates, Regime-switching models, Short-term debt, Stabilization plan, Stock index, Terms-of-trade shock, WP

Publication Details

  • Pages:

    33

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2002/150

  • Stock No:

    WPIEA1502002

  • ISBN:

    9781451856972

  • ISSN:

    1018-5941