Skip to main content
Disciplines
Automotive Business IT + Informatics Construction + Real Estate Electrical Engineering + Electronics Energy + Sustainability Insurance + Risk Finance + Banking Management + Leadership Marketing + Sales Mechanical Engineering + Materials
Events
DE
EN
Books
Journals
Topic Page
Marketing
Start single access now
Access for companies
EXTENDED SEARCH
Log in
Top
Published in:
A Direct Method for the Langevin-Analysis of Multidimensional Stochastic Processes with Strong Correlated Measurement Noise Read chapter Read first chapter

2016 | OriginalPaper | Chapter

A SVEC Model to Forecast and Perform Structural Analysis (Shocks) for the Mexican Economy, 1985Q1–2014Q4

Authors : Eduardo Loría, Emmanuel Salas

Published in: Time Series Analysis and Forecasting

Publisher: Springer International Publishing

Log in

Activate our intelligent search to find suitable subject content or patents.

search-config
loading …

Abstract

A structural vector error correction (SVEC) model was constructed as an information system that contains: US Industrial Output, the monetary aggregate M2, the Unemployment Rate, and the Real Exchange Rate (Mexico to the USA). The model fulfills all the correct specification tests, and proved to be structurally stable through some recursive tests. The model is based on four theoretical and empirical facts: (a) Okun’s Law, (b) the existence of real effects of monetary policy, (c) the dependency of the Mexican economy to US Industrial Output, and (d) a positive effect of the real exchange rate to GDP. The model has also been employed in quarterly forecast (2 or 3 years in advance) for the last 10 years.

Dont have a licence yet? Then find out more about our products and how to get one now:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

  • über 102.000 Bücher
  • über 537 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Maschinenbau + Werkstoffe
  • Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

inform now

Springer Professional "Technik"

Online-Abonnement

Mit Springer Professional "Technik" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 390 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Maschinenbau + Werkstoffe




 

Jetzt Wissensvorsprung sichern!

inform now

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 340 Zeitschriften

aus folgenden Fachgebieten:

  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Versicherung + Risiko




Jetzt Wissensvorsprung sichern!

inform now
previous chapter Value at Risk with Filtered Historical Simulation
next chapter Intraday Data vs Daily Data to Forecast Volatility in Financial Markets
Footnotes
1
Variables in lower case represent logarithms.
 
2
This is not a problem for forecasting purposes [17, 20, 21] given the perpetuation of a stable dependency relationship between variables, and the perpetuation of stable interdependence relationships within Z [25].
 
3
Which follows from Granger causality.
 
4
What follows is based on Lütkepohl and Krätzig [23, p. 168].
 
Literature
1.
Nelson, C., Plosser, C.: Trends and random walks in macroeconomic time series: some evidence and implications. J. Monet. Econ. 10(2), 139–162 (1982)CrossRef
2.
Durlauf, S., Romer, D., Sims, C.: Output persistence, economic structure, and the choice of stabilization policy. Brookings Papers on Economic Activity, pp. 69–136 (1989)
3.
Johansen, S.: Determination of cointegration rank in the presence of a linear trend. Oxf. Bull. Econ. Stat. 54(3), 383–397 (1992)CrossRef
4.
Rudzkis, R., Kvedaras, V.: A small macroeconometric model of the Lithuanian economy. Austrian J. Stat. 34(2), 185–197 (2005)
5.
Lanteri, L.: Choques externos y fuentes de fluctuaciones macroeconómicas. Una propuesta con modelos de SVEC para la economía Argentina, Economía Mexicana Nueva Época. Núm. 1. Primer semestre. CIDE. México (2011)
6.
Assenmacher-Wesche, K.: Modeling monetary transmission in Switzerland with a structural cointegrated VAR model. Swiss J. Econ. Stat. 144(2), 197–246 (2008)
7.
Bernanke, B., Gertler, M., Watson, M., Sims, C., Friedman, B.: Systematic monetary policy and the effects of oil price shocks. Brookings Papers on Economic Activity, pp. 91–157 (1997)
8.
Brüggemann, R.: Sources of German unemployment: a structural vector error correction analysis. Empir. Econ. 31(2), 409–431 (2006)CrossRef
9.
10.
Rodrik, D.: Growth after the crisis. Working Paper 65, Commission on Growth and Development, Washington, DC (2005)
11.
Rodrik, D.: The real exchange rate and economic growth. Brook. Pap. Econ. Act. 2, 365–412 (2008)
12.
Rapetti, M., Skott P., Razmi A.: The real exchange rate and economic growth: are developing countries different? Working Paper 2011-07. University of Massachusetts Amherst (2011)
13.
Razmi, A., Rapetti, M., Scott, P.: The Real Exchange Rate and Economic Development. Struct. Chang. Econ. Dyn. 23(2), 151–169 (2012)CrossRef
14.
Ibarra, C.: México: la maquila, el desajuste monetario y el crecimiento impulsado por las exportaciones. Revista Cepal. 104 Agosto (2011)
15.
Torres, A., Vela, O.: Trade integration and synchronization between the business cycles of Mexico and the United States. N. Am. J. Econ. Financ. 14(3), 319–342 (2003)CrossRef
16.
Chiquiar, D., Ramos-Francia, M.: Trade and business-cycle synchronization: evidence from Mexican and US manufacturing industries. N. Am. J. Econ. Financ. 16(2), 187–216 (2005)CrossRef
17.
Kennedy, P.: A Guide to Econometrics, 6th edn. Blackwell, Oxford (2008)
18.
Hendry, D.: The econometrics of macroeconomic forecasting. Econ. J. 107(444), 1330–1357 (1997)CrossRef
19.
Johansen, S.: Testing weak exogeneity and the order of cointegration in UK money demand data. J. Policy Model 14(3), 313–334 (1992)MathSciNetCrossRef
20.
Conlisk, J.: When collinearity is desirable. West. Econ. J. 9, 393–407 (1971)
21.
Blanchard, O.: Comment. J. Bus. Econ. Stat. 5, 449–451 (1987)
22.
Charemza, W., Deadman, D.: New Directions in Econometric Practice: General to Specific Modelling, Cointegration and Vector Autoregression. E. Elgar, Aldershot (1992)
23.
Lütkepohl, H., Krätzig, M.: Applied Time Series Econometrics. Cambridge University Press, Cambridge (2004)CrossRefMATH
24.
Okun, A.: Potential GNP: its measurement and significance. In: Proceedings of the Business and Economic Statistics Section, pp. 98–104. American Statistical Association, Alexandria (1962)
25.
Farrar, D., Glauber, R.: Multicollinearity in regression analysis: the problem revisited. Rev. Econ. Stat. 49, 92–107 (1967)CrossRef
Metadata
Title
A SVEC Model to Forecast and Perform Structural Analysis (Shocks) for the Mexican Economy, 1985Q1–2014Q4
Authors
Eduardo Loría
Emmanuel Salas
Copyright Year
2016
Book
Time Series Analysis and Forecasting

Print ISBN: 978-3-319-28723-2

Electronic ISBN: 978-3-319-28725-6

Copyright Year: 2016

DOI
https://doi.org/10.1007/978-3-319-28725-6_11