Análisis de cointegración y valores umbrales entre la inflación y el crecimiento económico en México: 1970-2007

Main Article Content

W. Adrián Risso Adrián Risso
Edgar J. Sánchez Carrera


El objetivo de este estudio es estimar empíricamente las relaciones de largo plazo y los efectos umbrales entre la inflación y el crecimiento económico en México. Se muestra la existencia de tal relación a través de un vector cointegrado entre el crecimiento económico (PIB real) y la tasa de inflación (medido por el Índice Nacional de Precios al Consumidor), y se encuentra una elasticidad significativamente negativa. Además, la relación causal entre estas dos series es estudiada mediante una prueba más sólida que la de Granger; sin embargo, no encontramos ninguna dirección de causalidad entre las series. Las estimaciones del modelo de valores umbrales sugiere un 9% como el valor umbral (punto de ruptura estructural) entre la inflación y el crecimiento económico, lo cual significa que valores de inflación por encima del umbral tienen un impacto negativo sobre el crecimiento económico en México.

Clasificación JEL: E31, O40, O42.


Download data is not yet available.


Metrics Loading ...

Article Details

How to Cite
Risso, W. A. R. A., & Sánchez Carrera, E. J. (2010). Análisis de cointegración y valores umbrales entre la inflación y el crecimiento económico en México: 1970-2007. Ensayos Revista De Economía, 29(2). Retrieved from


Andres J. and I. Hernando (1999). “Does inflation harm economic growth? Evidence for the OECD countries,” in The Costs and Effects of Price Stability. Feldstein, Martin, Ed. Chicago: The University of Chicago Press, pp. 315-341.

Ball, L. (1992). “Why does high inflation raise inflation uncertainty?” Journal of Monetary Economics 29 (3), pp. 371-388.

Banerjee, A., J. Dolado, J. Galbraith and D. Hendry (1993). Co-integration, Error Correction, and the Econometric Analysis of the Non-Stationary Data. Oxford University Press.

Banco de México (1995). Informe Annual: 1994. México: Banco de México.

Barro, R. J. (1995). “Inflation and Economic Growth.” National Bureau of Economic Research (NBER), Working Paper No. 5326.

Burdekin, R., A. T. Denzau, M. W. Keil, T. Sitthiyot and T. D. Willett (2004). “When does inflation hurt economic growth? Different nonlinearities for different economies.” Journal of Macroeconomics 26 (3), pp. 519-532.

Dickey, D. A. and W. A. Fuller (1981). “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root.” Econometrica, Vol. 49, pp. 1057-1072.

Drukker, D., P. Gomis Porqueras and P. Hernandez Verme (2005). “Threshold Effects in the Relationship Between Inflation and Growth: A New Panel-Data Approach. Working paper available at:

Faria R. J. and F. Carneiro (2001). “Does Hight Inflation Affect Growth in the Long and Short Run?” Journal of Applied Economics, Vol. 4(1), pp. 89-105.

Fisher, S. (1993). “The Role of Macroeconomic Factors in Growth.” Journal of Monetary Economics, Vol. 32: 485-512.

Fischer, S. and F. Modigliani (1978). “Towards and Understanding of the Real Effects and Costs of Inflation.” Weltwirtschaftliches Archiv 114, pp. 810-833.

Friedman, M. (1973). “Inflation and Unemployment.” Nobel Memorial Lecture, Illinois, USA: The University of Chicago.

Ghosh, A. and S. Philip (1998). “Inflation, Disinflation, and Growth.” IMF Working Paper No.WP/98/68. Washington, D.C.: IMF.

Granger, C. (1988). “Some recent developments in a concept of causality.” Journal of Econometrics, Vol. 39, pp. 199-211.

Gregorio, J. (1996). “Inflation, Growth, and Central Banks: Theory and Evidence.” World Bank Policy Research Working Paper 1575, Policy Research Department, Macroeconomics and Growth Division.

Grier, K. and R. Grier (2006). “On the real effects of inflation and inflation uncertainty in Mexico.” Journal of Development Economics 80, pp. 478-500.

Hansen, B. (1996). “Inference when the nuisance parameter is not identified under the null hypothesis.” Econometrica 64, pp. 413-30.

________ (1999). “Threshold effects in non-dynamic panels: estimation, testing, and inference.” Journal of Econometrics 93 (2), pp. 345-68.

________ (2000). “Sample splitting and threshold estimation.” Econometrica 68 (3), pp. 575-604.

Hodrick, R. J. and E.C. Prescott (1980). “Postwar U.S. Business Cycles: an Empirical Investigation.” mss. Pittsburgh: Carnegie-Mellon University; Discussion Papers 451, Northwestern University.

Huybens, E. and B. D. Smith (1998). “Financial Market Frictions, Monetary Policy and Capital Accumulation in a Small Open Economy.” Journal of Economic Theory 81, 353–400.

Johansen, S. (1988). “Statistical Analysis of cointegration vectors.” Journal of Economic Dynamics and Control, Vol. 12, pp. 231-254.

________ (1995). Likelihood-based inference in cointegrated vector autorregressive models., Oxford: Oxford University Press.

________ and Juselius, K. (1990). “Maximum likelihood estimation and inference on cointegration with applications to the demand for money.” Oxford Bulletin of Economics and Statistics, Vol. 52, pp. 169-210.

Khan, M. S. and A. S. Senhadji (2001). “Threshold Effects in the Relationship between Inflation and Growth.” IMF Staff Papers, Vol. 48, No. 1.

Kwiatkowski, D., P. Phillips, P. Schmidt and Y. Shin (1992). “Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root.” Journal of Econometrics, Vol. 54, pp. 159-178.

Mallik, G. and A. Chowdhury (2001). “Inflation and Economic Growth: Evidence from South Asian Countries.” Asian Pacific Development Journal, Vol. 8, No.1, pp. 123-135.

Mankiw, N., D. Romer and D. Weil (1992). “A Contribution to the Empirics of Economic Growth.” Quarterly Journal of Economics, Vol. 107: 407-437.

McCallum, B. (1984). “On low-frequency estimates of long-run relationships in macroeconomics.” Journal of Monetary Economics, Vol. 14, pp. 3-14.

Mundell, R. (1965). “Growth, Stability and Inflationary Finance.” Journal of Political Economy 73, pp. 97-109.

Phillips, P. (1986). “Understanding spurious regressions in econometrics.” Journal of Econometrics, Vol. 33, pp. 311-340.

Sarel, M. (1995). “Nonlinear Effects of Inflation on Economic Growth.” IMF Working Paper WP/95/56, Washington.

Solow, R. (1956). “A Contribution to the Theory of Economic Growth.” Quarterly Journal of Economics, Vol. 70, pp. 65-94.

Swan, T. (1956). “Economic Growth and Capital Accumulation.” Economic Record, Vol. 32: 344-361.

Toda, H. and T. Yamamoto (1995). “Statistical inference in vector autorregressions with possibly integrated processes.” Journal of Econometrics, Vol. 66, pp. 225-250.

Tobin, J. (1965). “Money and Economic Growth.” Econometrica, Vol. 33, pp. 671-684.

Most read articles by the same author(s)