versão impressa ISSN 0123-5923
GOMEZ SANCHEZ, ANDRÉS MAURICIO. Analysis of interdependence of economic cycles in the southwestern region of Colombia: an econometric approach using Kalman and Hodrick-Prescott filters. estud.gerenc. [online]. 2011, vol.27, n.121, pp. 115-142. ISSN 0123-5923.
The purpose of this article is to study the cyclical interdependence of the GDP in the state of Cauca with its neighboring States. A review was conducted of the regional economic cycles using Kalman and Hodrick-Prescotts filters. This included the use of VAR systems with impulse response analysis to determine the impact of the economic cycle in the State of Cauca and exogenous shocks on the region and vice versa. Firstly, our results show that the cycle in the State of Cauca has a closer relation to the cycle in the State of Nariño as opposed to the cycles in the States of Huila, Valle, or Tolima. It also reveals that exogenous shocks have greater volatility using a Kalman filter than using a Hodrick-Prescott filter
Palavras-chave : Economic cycles; regional economic interdependence; Kalman and Hodrick-Prescotts filter; VAR models.