Abstract

MEJIA-REYES, Pablo  and  DIAZ-CARRENO, Miguel Ángel. Looking for asymmetries over the Mexican business cycle. Inv. Econ [online]. 2010, vol.69, n.271, pp.15-42. ISSN 0185-1667.

The aim of this paper is to evaluate the existence of asymmetries in mean and variance in the dynamics of the main Mexican macroeconomic variables over business cycle regimes. Following the lines of the classical business cycle approach, a battery of statistics and autoregressive models is applied. Our main results can be summarised as follows: 1) there is evidence of asymmetries both in mean and variance in the cases of investment and imports, 2) industrial production, employment, unemployment rate and nominal interest rate exhibit asymmetries in mean only, and 3) exports, inflation rate and real exchange rate show asymmetries in variance only. One implication of these results is that linear models may be inappropriate to model these variables while nonlinear models may be useful to deal with their characteristics and dynamics.

Keywords : business cycle; asymmetries; Mexico.

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