Regional convergence clubs in Colombia 2000-2016: a flexible analysis by provinces

Los análisis de convergencia económica en Colombia han mostrado resultados en distintas direcciones; aportar evidencia para enfocar los esfuerzos de política pública en la reducción de las brechas regionales resulta muy pertinente. Usando como variable de análisis el PIB per cápita de los departamentos y la capital del país en el periodo 2000-2016, este artículo evalúa la hipótesis de convergencia total frente a la presencia de clubes regionales por medio de la prueba de Phillips y Sul (2007). Después de excluir del análisis las principales regiones mineras del país se identifican seis clubes de convergencia departamental y un grupo que diverge. Los resultados sugieren la persistencia de la desigualdad en el conjunto nacional, pero múltiples equilibrios o estados estacionarios por grupos de departamentos.Economic convergence studies in Colombia have shown mixed results. It is relevant to provide evidence that allows to focus public policy efforts to reduce the gaps between the country's regions. This paper using Colombian departments and the district capital applies the Phillips and Sul (2007) test to evaluate the hypothesis of total convergence versus the presence of regional clubs in GDP per capita in 2000-2016. We found evidence of divergence for the entire country but multiple steady states and departmental convergence clubs if the main mining regions are excluded from the analysis

Las correlaciones dinámicas de contagio financiero:Estados Unidos y América Latina

The dynamic correlations of financial contagion: The United States and Latin AmericaThe main objective of this work is to provide evidence of financial contagion between the most representative stock market of the United States and the main stock markets of Latin America: Argentina, Brazil, Chile, and Mexico, for the period of 2002-2009. To this end, the conditional dynamic correlations through the DCC model, based on the modeling of the daily yields of these markets, is estimated. Once the DCC is estimated, the possibility of financial contagion from the U.S. stock market to Latin American stock markets is considered. In order to explain the sudden changes in the dynamic correlations between the U.S. and Latin American stock markets, a Markovian regime change model was estimated, as suggested by Boffelli and Urga (2016). Statistical analysis of dynamic correlations reveals that financial contagion took place in these countries long before the collapse of Lehman Brothers.El objetivo principal del trabajo es proveer evidencia de contagio financiero entre el mercado accionario más representativo de los Estados Unidos y los principales mercados accionarios de América Latina: Argentina, Brasil, Chile y México en el periodo de 2002 a 2009. Con este fin estimamos las correlaciones dinámicas condicionales a través del modelo DCC a partir de la modelación de los rendimientos diarios de estos mercados. Una vez estimado el DCC, exploramos la posibilidad de contagio financiero del mercado accionario de Estados Unidos a los de América Latina. Para explicar los cambios repentinos en las correlaciones dinámicas entre el mercado accionario de Estados Unidos y los de América Latina estimamos un modelo cambio de régimen Markoviano de acuerdo con lo sugerido por Boffelli y Urga (2016). El análisis estadístico de las correlaciones dinámicas revela que el contagio financiero tuvo lugar en estos países mucho antes de la quiebra de Lehman Brothers

Las correlaciones dinámicas de contagio financiero:Estados Unidos y América Latina

The dynamic correlations of financial contagion: The United States and Latin AmericaThe main objective of this work is to provide evidence of financial contagion between the most representative stock market of the United States and the main stock markets of Latin America: Argentina, Brazil, Chile, and Mexico, for the period of 2002-2009. To this end, the conditional dynamic correlations through the DCC model, based on the modeling of the daily yields of these markets, is estimated. Once the DCC is estimated, the possibility of financial contagion from the U.S. stock market to Latin American stock markets is considered. In order to explain the sudden changes in the dynamic correlations between the U.S. and Latin American stock markets, a Markovian regime change model was estimated, as suggested by Boffelli and Urga (2016). Statistical analysis of dynamic correlations reveals that financial contagion took place in these countries long before the collapse of Lehman Brothers.El objetivo principal del trabajo es proveer evidencia de contagio financiero entre el mercado accionario más representativo de los Estados Unidos y los principales mercados accionarios de América Latina: Argentina, Brasil, Chile y México en el periodo de 2002 a 2009. Con este fin estimamos las correlaciones dinámicas condicionales a través del modelo DCC a partir de la modelación de los rendimientos diarios de estos mercados. Una vez estimado el DCC, exploramos la posibilidad de contagio financiero del mercado accionario de Estados Unidos a los de América Latina. Para explicar los cambios repentinos en las correlaciones dinámicas entre el mercado accionario de Estados Unidos y los de América Latina estimamos un modelo cambio de régimen Markoviano de acuerdo con lo sugerido por Boffelli y Urga (2016). El análisis estadístico de las correlaciones dinámicas revela que el contagio financiero tuvo lugar en estos países mucho antes de la quiebra de Lehman Brothers

Pair-Wise Approach to Test the Regional Convergence Hypothesis in Mexico

This paper assesses the gross domestic product (GDP) per capita convergence of the 32 Mexican States in the period 1940-2010 through the method proposed by Pesaran (2007), which is based on the convergence stochastic criterion. One of the main advantages of this method is not only on a model of leading economy, also on a pair-wise approach that considers all possible gap pairs of per capita logarithms of all the Mexican States analyzed in the sample. According to this method, all the differences or output gaps of the States must be stationary around a constant mean. Most results provide evidence against the hypothesis of convergence especially for the total sample from 1940 to 2010 and the first period from 1940 to 1985. However, mixed evidence of this hypothesis was observed in the second period from 1986 to 2010. Additionally, the test results applied to a set of States considered as the richest suggest these findings are not due to the unique behavior of these States

Spillovers entre el S&Poor500 y los principales EMBIG latinoamericanos

This work performs an analysis of spillover effects between U.S. stock returns and changes in EMBI Global indices in Argentina, Brazil, Colombia, Mexico and Peru. A total spillover index is estimated to show significant increases at the turn of the century and during the global financial crisis. Breaking down the index into its directional components shows that the main sources of spillover among the markets analyzed are the U.S. stock market and the Brazilian bond index. An important limitation is that the EMBIGs of other Latin American countries are left out of the study and the main implication of the results is that it shows how the behavior of these instruments relates, which can be useful for portfolio decision-making. It is also noteworthy that the main recipients of spill effects are the indices of the bonds of Peru and Mexico, while the Argentine bond index is the least affected by external shocks.En este trabajo se realiza un análisis de los efectos de derrame (spillover ) entre los rendimientos accionarios de Estados Unidos y los cambios en los índices EMBI Global de Argentina, Brasil, Colombia, México y Perú. Se estima un índice del spillover total que muestra alzas importantes a principios de siglo y durante la crisis financiera mundial. Al descomponer dicho índice en sus componentes direccionales se observa que las principales fuentes de spillover entre los mercados analizados son el mercado accionario de Estados Unidos y el índice de los bonos brasileños. Una limitación importante es que quedan fuera del estudio los EMBIG de otros países latinoamericanos y la principal implicación de los resultados es que muestra cómo se relaciona el comportamiento de esos instrumentos, lo que puede ser útil para la toma de decisiones de portafolio. También es de destacarse que los principales receptores de efectos derrame son los índices de los bonos de Perú y México, en tanto que el índice de los bonos argentinos son los menos afectados por los choques externos

Modeling oil price uncertainty effects on economic growth in Mexico: a sector-level analysis

This paper analyzes the impact of international oil price uncertainty on the different economic sectors (primary, secondary, and tertiary) in Mexico in the period 1993:1–2020:4 through a bivariate structural vector autoregressive (VAR) model with a generalized autoregressive conditional heteroskedasticity (GARCH) in mean to capture the impact of oil volatility on economic growth at the sectoral level of economic activity. The results show that the uncertainty of the international price of oil has a differentiated effect on the different sectors of economic activity in Mexico since it does not influence the primary sector; it negatively impacts the secondary sector, and there is mixed evidence in the tertiary sector. Additionally, evidence is provided that both positive and negative shocks to the international oil price have asymmetric effects at the sectoral level in Mexico. The results highlight the need to implement public policies, at the country level, that help mitigate the effect of uncertainty in the oil market and promote economic stability at the sector level.Financiado para publicación en acceso aberto: Universidade de Vigo/CISU

¿Ha sido estable el crecimiento en América Latina?

In this paper, we characterize economic growth among a sample of Latin American countries by means of two panel stationarity tests: those of Carrion-i-Silvestre et al. (2005) and Hadri and Rao (2008). The latter has a number of advantages compared to the first, in that it allows us to control (i) non-observed heterogeneity, both in its form and dates of possible structural breaks in the tendency function; (ii) the cross-section dependency among the units with panel bootstrap methods; and (iii) serial correlation in the errors. Our results show that economic growth in most Latin American countries has slowed significantly following structural breaks. The main implication of this finding is the inability of countries to recover from negative impacts and thus return to the original path of balanced growth.En este trabajo caracterizamos el crecimiento económico de una muestra de países de América Latina mediante dos pruebas de estacionariedad en panel la de Carrion-i-Silvestre et al. (2005) y la de Hadri y Rao (2008), esta última tiene algunas ventajas con respecto a la primera ya que permite controlar: (i) la heterogeneidad no observada tanto en su forma como en la fecha de los posibles quiebres estructurales en la función de tendencia, (ii) la dependencia de sección cruzada entre las unidades con métodos de bootstrapping de panel, y (iii) la correlación serial en los errores. Los resultados evidencian que la mayoría de los países de América Latina presentan notables desaceleraciones en su crecimiento económico en los periodos posteriores a las rupturas estructurales cuya principal implicación es la incapacidad de recuperarse de los impactos negativos y por ende, de regresar a la senda de crecimiento equilibrado inicial.

Spillovers entre los principales Mercados Accionarios de Latinoamérica, Estados Unidos y el Mercado Petrolero

Spillovers between major stock markets in Latin America, the United States and the Oil MarketWe analyze the spillovers in both yields and volatilities between the international oil price and the main stock markets in Latin America and the United States. To this end, we use the methodology proposed by Diebold and Yilmaz (2009, 2012), which consists of constructing spillover indices (SI) for yields and volatilities. The results show that the index for yields has larger effects compared to the one obtained for volatilities and that there is a weak interdependence between the stock market yields analyzed and those of the oil market. A disadvantage of this procedure is that the returns of the stock indexes on which this methodology is applied are aggregate indicators representative of the behavior of the main stocks in their markets, so that a possible extension, or recommendation, would be to apply the methodology with a higher level of disaggregation, such as the returns of some sectorial stock indexes or the returns of some stocks listed in the markets analyzed.Se analizan los spillovers (desbordamientos) tanto en los rendimientos como en las volatilidades entre el precio internacional del petróleo y los principales mercados bursátiles de América Latina y Estados Unidos. Para tal fin empleamos la metodología propuesta por Diebold y Yilmaz (2009, 2012) que consiste en construir índices de spillovers (IS) para los rendimientos y las volatilidades. Los resultados muestran que el índice de los rendimientos tiene mayores efectos en comparación con el obtenido para las volatilidades y que existe una interdependencia débil entre los rendimientos de los mercados bursátiles analizados y los del mercado petrolero. Una desventaja de este procedimiento es que los rendimientos de los índices accionarios sobre los cuales se aplica esta metodología constituyen indicadores agregados representativos del comportamiento de las principales acciones de sus mercados por lo que una posible extensión, o recomendación, consistiría en aplicar la metodología con un mayor nivel de desagregación como pueden ser los rendimientos de algunos índices accionarios sectoriales o incluso a algunas acciones que cotizan en los mercados analizados

¿Realmente existe convergencia regional en México? Un modelo no lineal de datos panel TAR

This paper analyzes the hypothesis of regional convergence in Mexico for the period 1970-201 through a non-linear growth model. The methodology combines three approaches: the panel-data threshold autoregressive (TAR) model, the unit root tests in panel and the computation of the critical values by bootstrapping simulation. The empirical results of the nonlinear model applied to the per capita GDP of different groups of States in Mexico suggest that the proposed model is superior to the linear model and show evidence of partial and absolute convergence for the group of the eleven “richer” States in certain sub-periods. Surprisingly, considering the average of the eleven richer and combining it with the rest of the States convergence evidence was found. Furthermore, when all the States are compared, the hypothesis of divergence could not be rejected. These results show that convergence is present in groups of States with similar characteristics and specific periods, which reinforces the idea that there are convergence “clubs” in Mexico

¿Realmente existe convergencia regional en México? Un modelo no lineal de datos panel TAR

This paper analyzes the hypothesis of regional convergence in Mexico for the period 1970-201 through a non-linear growth model. The methodology combines three approaches: the panel-data threshold autoregressive (TAR) model, the unit root tests in panel and the computation of the critical values by bootstrapping simulation. The empirical results of the nonlinear model applied to the per capita GDP of different groups of States in Mexico suggest that the proposed model is superior to the linear model and show evidence of partial and absolute convergence for the group of the eleven “richer” States in certain sub-periods. Surprisingly, considering the average of the eleven richer and combining it with the rest of the States convergence evidence was found. Furthermore, when all the States are compared, the hypothesis of divergence could not be rejected. These results show that convergence is present in groups of States with similar characteristics and specific periods, which reinforces the idea that there are convergence “clubs” in Mexico