Causalidad y acoplamiento cíclico entre variables macroeconómicas en la conformación de crisis financieras

Abstract

Causalidad y acoplamiento cíclico entre variables macroeconómicas en la conformación de crisis financieras Objective: This work analyzes the cyclical synchronization among macroeconomic time series, whose phase couplings incidentally established the mechanisms of propagation and causality in cyclical oscillations of the variables and implicitly fostered periods of the economic and financial crisis in the American economy. Method: we use cyclical phase synchronization in time series in addition to Granger causality tests of VAR (Vector Auto-Regressive). Results: this research explains the mechanisms by which monetary policy decisions are reflected in the movements of macroeconomic variables and how its effects transmit inefficiencies in the performance and behavior of aggregate financial and macroeconomic variables, originating the “boom and bust” process in the US economy. Recommendations: strengthen the analysis through causal nested relationships in time series to capture the transmission mechanisms of monetary policy. Limitations and implications: the dynamic adjustment is not pertinent for lineal systems. Main contribution: there is a strong relationship between cyclical subsystems of variables and the dynamics of transmission and cyclical causality is time variant, highlighting the beginning of economic-financial cycles.

Keywords

• ciclo económico, crisis económica, crisis financiera, causalidad entre variables, sincronización de fase.