Transmisión internacional de los shocks macroeconómicos estadounidenses en la región del T-MEC
DOI:
https://doi.org/10.24275/uam/azc/dcsh/ae/2024v39n100/AnguianoPalabras clave:
Shocks Macroeconómicos, Transmisión Internacional , T-MEC , Modelo GVAR , GIRFsResumen
Estudiamos la transmisión internacional de los shocks reales y financieros de Estados Unidos en la región del T-MEC utilizando un enfoque global. El estudio se basa en un modelo GVAR (Vector Global Auto-regresivo) y funciones generalizadas de impulso-respuesta (GIRF). Los principales hallazgos sugieren que: 1) Las economías del T-MEC están simultáneamente vinculadas a la economía mundial, principalmente a través del crédito privado, el comercio internacional y el PIB real; 2) los shocks sobre el PIB y los flujos comerciales de Estados Unidos tienen mayor influencia en Canadá que en México; 3) los shocks sobre las tasas de interés estadounidenses tienen mayor influencia en México que en Canadá; 4) el crédito privado y el comercio internacional son los más importantes canales para la transmisión de shocks macroeconómicos internacionales. El estudio se basa en datos trimestrales de 33 países del período 1986:T1-2019:T4.
Descargas
Citas
Andrews, D. W. K., & Ploberger, W. (1994). Optimal tests when a nuisance parameter is present only under the alternative. Econometrica, 62(6), 1383-1414. https://doi.org/10.2307/2951753
Arora, V., & Vamvakidis, A. (2004). The impact of U. S. economic growth on the rest of the world: How much does it matter? Journal of Economic Integration, 19(1), 1-18. https://doi.org/10.11130/jei.2004.19.1.1
Baxter, M., & Kouparitsas, M. A. (2005). Determinants of business cycle comovement: A robust analysis. Journal of Monetary Economics, 52(1), 113-157. https://doi.org/10.1016/j.jmoneco.2004.08.002.
Bayoumi, T., & Swiston, A. (2008). Spillovers across NAFTA, IMF Working Paper No. 08/03. Washington: International Monetary Fund. https://doi.org/10.5089/9781451868654.001.A001.
Brown, R. L., Durbin, J., & Evans, J. M. (1975). Techniques for testing the constancy of regression relationships over time. Journal of the Royal Statistical Society: Series B (Methodological), 37(2), 149-163. https://doi.org/10.1111/j.2517-6161.1975.tb01532.x
Cesa-Bianchi, A., Pesaran, M. H., Rebucci, A., & Xu, T. (2012). China’s emergence in the world economy and business cycles in Latin America. Economía, 12(2), 1-75. https://doi.org/10.1353/eco.2012.0001.
Chudik, A., & Pesaran, M. H. (2013). Econometric analysis of high dimensional VARs featuring a dominant unit. Econometric Reviews, 32(5-6), 592-649. https://doi.org/10.1080/07474938.2012.740374
Chudik, A., & Pesaran, M. H. (2016). Theory and practice of GVAR modelling: Theory and practice of GVAR modeling. Journal of Economic Surveys, 30(1), 165-197. https://doi.org/10.1111/joes.12095
Clavijo, F., & Valdivieso, S. (2000). Reformas Estructurales y Política Macroeconómica: El Caso de México 1982-1999. Economic Commission for Latin America and the Caribbean (CEPAL). https://www.cepal.org/es/publicaciones/7602-reformas-estructurales-politica-macroeconomica-caso-mexico-1982-1999.
Dées, S., & Zorell, N. (2012). Business cycle synchronization: Disentangling trade and financial linkages. Open Economies Review, 23(4), 623-643. https://doi.org/10.1007/s11079-011-9208-2
Dées, S., Mauro, F. di, Pesaran, M. H., & Smith, L. V. (2007). Exploring the international linkages of the euro area: A global VAR analysis. Journal of Applied Econometrics, 22(1), 1-38. https://doi.org/10.1002/jae.932
Eickmeier, S., & Ng, T. (2015). How do US credit supply shocks propagate internationally? A GVAR approach. European Economic Review, 74(1), 128-145. https://doi.org/10.1016/j.euroecorev.2014.11.011
Frankel, J. A., & Rose, A. K. (1998). The endogeneity of the optimum currency area criteria. The Economic Journal, 108(449), 1009-1025. https://doi.org/10.1111/1468-0297.00327
Garratt, A., Lee, K., Pesaran, M. H., & Shin, Y. (2006). Global and National Macroeconometric Modelling: A Long-run Structural Approach. Oxford: Oxford University Press.
Haile, F., & Pozo, S. (2008). Currency crisis contagion and the identification of transmission channels. International Review of Economics & Finance, 17(4), 572-588. https://doi.org/10.1016/j.iref.2007.05.005
Hansen, B. E. (2002). Tests for parameter instability in regressions with I(1) processes. Journal of Business & Economic Statistics, 20(1), 45-59. https://doi.org/10.1198/073500102753410381
Harbo, I., Johansen, S., Nielsen, B., & Rahbek, A. (1998). Asymptotic inference on cointegrating rank in partial systems. Journal of Business & Economic Statistics, 16(4), 388-399. https://doi.org/10.1080/07350015.1998.10524779
Helbling, T., Berezin, P., Kose, M.A., Kumhof, M., Laxton, D., & Spatafora, N. (2007). Decoupling the train? Spillovers and cycles in the global economy. In International Monetary Fund (Ed.), World Economic Outlook, April 2007: Spillovers and Cycles in the Global Economy (pp. 121-160). International Monetary Fund. https://doi.org/10.5089/9781589066267.081
Imbs, J. (2004). Trade, finance, specialization, and synchronization. Review of Economics and Statistics, 86(3), 723-734. https://doi.org/10.1162/0034653041811707
Khan, N. S. (2020). Revisiting the effects of NAFTA. Economic Analysis and Policy, 68(1), 1-16. https://doi.org/10.1016/j.eap.2020.08.001
Kose, M.A., Prasad, E.S. & Terrones, M.E. (2003). How does globalization affect the synchronization of business cycles? American Economic Review, 93(2), 57-62. https://www.jstor.org/stable/3132200
Kose, M.A., Towe, C. M., & Meredith, G. (2005). How has NAFTA affected the Mexican economy? : Review and evidence. In R. J. Langhammer & L. Vinhas de Souza (Eds.), Monetary Policy and Macroeconomic Stabilization in Latin America (pp. 35-81). Springer. https://doi.org/10.1007/3-540-28201-7.
Lee, K. C., & Pesaran, M. H. (1993). Persistence profiles and business cycle fluctuations in a disaggregated model of U.K. output growth. Ricerche Economiche, 47(3), 293-322. https://doi.org/10.1016/0035-5054(93)90032-X
Lee, KM., Yang, JS., Kim, G., Lee, J., Goh, KI., & Kim, I. (2011). Impact of the topology of global macroeconomic network on the spreading of economic crises. PLoS ONE, 6(3), e18443. https://doi.org/10.1371/journal.pone.0018443
Leila, A. (2011). Global crises: A network perspective on the economic integration. Journal of Economic Integration, 26(2), 197-216. https://doi.org/10.11130/jei.2011.26.2.197
MacKinnon, J. G., Haug, A. A., & Michelis, L. (1999). Numerical distribution functions of likelihood ratio tests for cointegration. Journal of Applied Econometrics, 14(5), 563-577. https://doi.org/10.1002/(SICI)1099-1255(199909/10)14:5<563::AID-JAE530>3.0.CO;2-R
Mohaddes, K., & Raissi, M., (2020). Compilation, Revision and Updating of the Global VAR (GVAR) Database, 1979Q2-2019Q4 [Dataset]. University of Cambridge: Judge Business School (mimeo). Available from: https://www.mohaddes.org/gvar.
Nyblom, J. (1989). Testing for the constancy of parameters over time. Journal of the American Statistical Association, 84(405), 223-230. https://doi.org/10.1080/01621459.1989.10478759
Park, H. J., & Fuller, W. A. (1995). Alternative estimators and unit root tests for the autoregressive process. Journal of Time Series Analysis, 16(4), 415-429. https://doi.org/10.1111/j.1467-9892.1995.tb00243.x
Pentecôte, J.-S., & Rondeau, F. (2015). Trade spillovers on output growth during the 2008 financial crisis. International Economics, 143(1), 36-47. https://doi.org/10.1016/j.inteco.2015.04.003
Pesaran, M. H. (2015). Time series and panel data econometrics. Oxford University Press. https://doi.org/10.1093/acprof:oso/9780198736912.001.0001
Pesaran, M. H., Schuermann, T., & Weiner, S. M. (2004). Modeling regional interdependencies using a global error-correcting macroeconometric model. Journal of Business & Economic Statistics, 22(2), 129-162. https://doi.org/10.1198/073500104000000019
Ploberger, W., & Kramer, W. (1992). The CUSUM test with OLS residuals. Econometrica, 60(2), 271-285. https://doi.org/10.2307/2951597
Sevinc, D., & Mata Flores, E. (2021). Macroeconomic and financial implications of multi‐dimensional interdependencies between OECD countries. International Journal of Finance & Economics, 26(1), 741-776. https://doi.org/10.1002/ijfe.1814
Sgherri, S. & Galesi, A., (2009). Regional Financial Spillovers Across Europe: A Global VAR Analysis, IMF Working Paper No. 09/23. Washington: International Monetary Fund. https://elibrary.imf.org/openurl?genre=journal&issn=1018-5941&volume=2009&issue=023 SS
Smith, L.V., & Galesi, A., (2014). GVAR Toolbox 2.0. Available from: https://sites.google.com/site/gvarmodelling/gvar-toolbox.
Tam, P. S. (2018). Global trade flows and economic policy uncertainty. Applied Economics, 50(34-35), 3718-3734. https://doi.org/10.1080/00036846.2018.1436151
Wei, H., & Lahiri, R. (2019). The impact of commodity price shocks in the presence of a trading relationship: A GVAR analysis of the NAFTA. Energy Economics, 80(1), 553-569. https://doi.org/10.1016/j.eneco.2019.01.022
Descargas
Publicado
Cómo citar
Número
Sección
Licencia
Derechos de autor 2024 Javier Emmanuel Anguiano Pita, Antonio Ruiz Porras
Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial-SinDerivadas 4.0.
