Year: 2004
Type: article
Abstract: In this document I apply a recently developed econometric technique to prove the existence of common movements between time series. Said methodology is used to test and measure the existence of common cycles between the economies of Mexico and the United States for the 1993–2001 period. It is found that both economies share a common trend and a common cycle. Also, given the existence of one common cycle between these economies, it is found that transitory shocks affecting Mexico's GDP are more important than when a conventional trend-cycle decomposition methodology is applied. Finally, it is shown that there are efficiency gains in forecasting by considering the common cycle restriction in a bivariate vector error correction model that includes the Mexican and the U.S. GDPs.
Source: Journal of Applied Economics
Author: Jorge Herrera Hernández
Institution: Bank of Mexico
Language: English
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W2116475595