MULTIFRACTAL ANALYSIS OF U.S. INDUSTRIAL PRODUCTION OVER THE BUSINESS CYCLE 1919-2022

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DOI:

https://doi.org/10.52195/pm.v23i2.1953

Palabras clave

Ciclo económico; exponente de Hurst; estructura de producción.

Resumen

Se analiza el índice estadounidense de producción industrial para detectar la presencia de memoria larga durante el período 1919–2022. Se cal- culan exponentes de Hurst en ventanas de veinticuatro meses anteriores, cen- tradas en y posteriores al inicio de cada recesión, con el fin de examinar la evolución de la producción. Este enfoque permite asimismo explorar si la acti- vidad económica está impulsada por la innovación empresarial (memoria larga antipersistente con 0 ≤ H < ½) o por efectos Cantillon insostenibles deri- vados de la expansión monetaria y del comportamiento gregario (memoria larga persistente con ½ < H ≤ 1). El carácter multifractal de la producción industrial varía de manera sistemática a lo largo de las recesiones y expansio- nes. Los últimos meses de una expansión insostenible se caracterizan por la supresión de la antipersistencia empresarial normal del mercado y la imposi- ción de una memoria larga fractal. La fase de recuperación restablece la anti- persistencia asociada con la experimentación empresarial y elimina los procesos de memoria larga. El punto de inflexión que marca el inicio de una recesión también reinicia el carácter fractal de la producción industrial.

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MULTIFRACTAL ANALYSIS OF U.S. INDUSTRIAL PRODUCTION OVER THE BUSINESS CYCLE 1919-2022. REVISTA PROCESOS DE MERCADO, [S. l.], v. 23, n. 2, p. 179–210, . DOI: 10.52195/pm.v23i2.1953. Disponível em: https://procesosdemercado.com/revista/2025/vol-23/num-2/multifractal-analysis-of-u-s-industrial-production-over-the-business-cycle-1919-2022. Acesso em: 15 abr. 2026.