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Author Coronado, Roberto A.
Source CiteSeerX
Content type Text
File Format PDF
Subject Domain (in DDC) Computer science, information & general works ♦ Data processing & computer science
Subject Keyword Business Cycle ♦ Monetary Policy Institute Working Paper ♦ Federal Reserve Bank ♦ Beveridge-nelson Decomposition Provide New Evidence ♦ Output Series ♦ Source Country ♦ Empirical Result ♦ Cyclical Component ♦ Stochastic Permanent ♦ Important Aspect ♦ Beveridge-nelson Decomposition ♦ United State ♦ Home Country ♦ Unobserved Component State-space Model ♦ Highfrequency Data ♦ United State Mexico ♦ United State El Salvador ♦ Stationary Cyclical Component ♦ United State Business Cycle ♦ Long Period ♦ Output Fluctuation ♦ Germany Turkey ♦ Economic Theory ♦ Business Cycle Property ♦ Sophisticated Econometric Technique
Abstract In this paper, I analyze the business cycle properties of remittances and output series for three pairs of countries: the United States–Mexico, the United States–El Salvador, and Germany–Turkey. Using an unobserved components state-space model (via the Beveridge-Nelson decomposition), I decompose the remittances and output series into stochastic permanent and cyclical components. I then use the resulting stationary cyclical components to estimate co-movements between remittances and output series. Empirical results indicate that remittances are counter-cyclical with all the home countries: Mexico, El Salvador, and Turkey. With respect to source countries, remittances to Mexico are counter-cyclical with the United States business cycle, while remittances from the United States to El Salvador and remittances from Germany to Turkey are strongly pro-cyclical with output fluctuations in the source country. The contribution of this paper to the literature is twofold: (1) I use highfrequency data (quarterly) for a relatively long period of time; and (2) I employ more recent and sophisticated econometric techniques in the decomposition of the series into stochastic permanent and cyclical components. The existing literature lacks both of these important aspects of my analysis. I show that once both of these factors are incorporated into the analysis, empirical results are more aligned to those predicted by economic theory.
Educational Role Student ♦ Teacher
Age Range above 22 year
Educational Use Research
Education Level UG and PG ♦ Career/Technical Study
Learning Resource Type Article
Publisher Date 2009-01-01