English, Article, Journal or magazine article edition: Ciclos Internacionais de Negócios: uma Análise de Mudança de Regime Markoviano para Brasil, Argentina e Estados Unidos Arnildo da Silva Correa; Ronald Otto Hillbrecht

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Bookmark: http://trove.nla.gov.au/version/124348
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Ciclos Internacionais de Negócios: uma Análise de Mudança de Regime Markoviano para Brasil, Argentina e Estados Unidos
Author
  • Arnildo da Silva Correa
  • Ronald Otto Hillbrecht
Physical Description
  • preprint
Notes
  • The aim of this paper is to develop a business cycle analysis for Brazil, Argentina and the United States, emphasizing the regime switches that occurred throughout the economic fluctuations experienced by these countries. Recent studies on business cycles have favored the international business cycles approach. This work intends to test the hypothesis of a common cycle that could contemporaneously affect these countries. The methodology used is the MS-VAR - Markov switching vector autoregressions . Firstly, individual univariate specifications are estimated for the period from 1900 to 2000 and the results compared to stylized facts characteristic of each country. A multivariate model is formulated afterwards to verify the hypothesis of a common cycle, which, in turn, is perceived as simultaneous changes in the stochastic process of growth of these countries. Finally, the results suggest that the evidences favoring the common cycle are little robust. The estimated contemporaneous correlations show rather modest values. Particularly, there are significant differences in the cycles of Brazil, Argentina and the United States, having each one of theses countries its own characteristics and behavior.
  • RePEc:bcb:wpaper:88
  • RePEc:anp:en2003:b47
Language
  • English
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