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dc.creator Guillén, Ángel
dc.creator Rodríguez, Gabriel
dc.date.issued 2014-02-06
dc.identifier.issn 2196-436X
dc.identifier.uri http://hdl.handle.net/11651/3253
dc.description Trend, cycle, mixture of normals, asymmetries, non-linearities, recessions, filters
dc.description.abstract Perron and Wada (J Monet Econ 56:749–765, 2009) propose a new method of decomposition of the GDP in its trend and cycle components, which overcomes the identification problems of models of unobserved components (UC) and ARIMA models and at the same time, admits non-linearities and asymmetries in cycles. The method assumes that output can be represented by a non-linear model of unobserved components, where disturbances consist of a mixture of normal distributions. In this document, we apply thisalgorithm to Peruvian GDP using quarterly data from 1980 until 2011. As a result of this analysis, we choose the UC-CN model, which presents a mixture of normals in the disturbances of the trend and cycle component of output. The obtained trend clearly reflects the structural change undergone in the early 1990s. After a steep decrease of the trend or potential GDP as a result of drastic adjustment measures, output grew in a more stable way in the following years. In the same way, one can observe an increase in the growth rate of potential GDP from 2002 onwards, which coincides with the monetary reforms that took place at the time. Finally, the obtained cycles are consistent with the evolution of the Peruvian economy and of recession periods that have been traditionally identified. A comparison with other methods of decomposition is also provided.
dc.format application/PDF
dc.language.iso eng
dc.publisher Centro de Investigación y Docencia Económicas
dc.relation.ispartof Latin American Economic Review, volumen 23, número 1, febrero de 2014
dc.rights La revista Latin American Economic Review autoriza a poner en acceso abierto de conformidad con las licencias CREATIVE COMMONS, aprobadas por el Consejo Académico Administrativo del CIDE, las cuales establecen los parámetros de difusión de las obras con fines no comerciales. Lo anterior sin perjuicio de los derechos morales que corresponden a los autores.
dc.source 2196-436X
dc.title Trend-cycle decomposition for Peruvian GDP: application of an alternative method
dc.type Artículo
dc.accessrights Acceso abierto
dc.recordIdentifier 000003253
dc.rights.license Creative Commons Reconocimiento-NoComercial-SinObraDerivada 4.0 International CC BY-NC-ND
dc.identifier.citation En: Latin American Economic Review, volumen 23, número 1, febrero de 2014
dc.identifier.doi https://doi.org/10.1007/s40503-014-0005-3
dc.identifier.url https://link.springer.com/article/10.1007/s40503-014-0005-3


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