Análisis de la Tasa de Desempleo de la Economía Argentina y los Spreads Utilizando Modelos de Cambio de Régimen y de Transición Autorregresivos

Abstract

A particular interest of most of macroeconomists is to estimate diverse models that allow prediction of economic activity. Nevertheless, recent literature, presents a tendency to use simpler models to forecast; among those are stronger the ones that take interest rates spreads as a predictor. The reason to choose this variable, resides on the base that different agents can set and adjust its expectations. The objective of the present work is to model the behavior of interest rate spreads and Argentinian unemployment rates as an indicator of economic activity through Regime Switching Models like Markov Model and Markov-Switching and Smooth Transition Autoregression (STAR) respectively. The relationship between both variables is evident when two periods (high growth - low growth periods) are identified, confirming the adequacy of the two regimens for both variables.