Los efectos asimétricos de la inflación, la incertidumbre inflacionaria y el crecimiento económico en México

Palabras clave: inflación, incertidumbre inflacionaria, crecimiento económico, modelos GARCH asimétricos

Resumen

Se explora el impacto de la inflación y su incertidumbre sobre el crecimiento económico de México. Además, se investiga la relación de causalidad entre la inflación y su incertidumbre nominal. Para ello, se estima un modelo de correlación condicional constante (CCC) GARCH Bivariado asimétrico, el cual permite modelar la incertidumbre de la inflación y del producto en el periodo de agosto de 1984 a junio de 2019. Estas variables se utilizan para comprobar el efecto de retroalimentación establecido por la teoría, empleando pruebas de causalidad de Granger con el enfoque Toda-Yamamoto. Los resultados empíricos muestran que, los choques de las malas noticias repercuten en mayor medida sobre la incertidumbre inflacionaria y del producto, si se les compara con impactos de igual magnitud provocados por las buenas noticias. También se comprueba el cumplimiento de la hipótesis de Friedman-Ball, la validez de la hipótesis de Holland, así como la presencia de un efecto Tobin en la economía mexicana.
Clasificación JEL: C32; D81; E31; F43.

Biografía del autor/a

Eduardo Rosas Rojas, Centro Universitario UAEM, Valle de México

Profesor Investigador titular “C” adscrito al Centro Universitario UAEM Valle de México. Miembro del Sistema Nacional de Investigadores del CONACYT, nivel I. 

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Publicado
2020-09-04