A Threshold GARCH Model for Chilean Economic Uncertainty

Round 1

Reviewer 1 Report

The proposed models are interesting, since we can adjust the model to the economies of other Latin American countries. Adapting other relevant variants for the countries where they will be applied. In addition, the countries in which you want to apply the models must have some characteristic similar to that of Chile.

Author Response

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Author Response File: Author Response.pdf

Reviewer 2 Report

The manuscript requires major revisions to contextualize the merits of the study and potential uses of its methodology in future studies. The abstract demands substantial revision as it fails to accurately summarize the contents of the article. The paper would benefit from a clearer research question or argument around which it could be more clearly structured. It was not always clear what the objective of the paper was. Spell ‘the COVID-19 pandemic,’ neither the Covid-19 pandemic, nor ‘Covid19 pandemic’. Remove general unrelated sentences such as ‘Economics is dedicated to resource administration to meet the needs of a society.’ If the authors rearrange and adopt a critical point of view when writing the theoretical framework, information will be then meaningful. Check for no or extra spaces throughout the manuscript. E.g., ‘in time. The model has commonly’, ‘among others. Volatility of’, etc. The manuscript generally cites very old sources to reflect the current picture on the topic. The methodology is weak and unclear: ‘Information is collected via regular telephone surveys and emails. The sample works under a panel structure, meaning respondents are repeated over time. The survey covered respondents’ companies, their industry, companies in general and the national economy.’ Research questions and hypotheses must be constructed based on more specific supporting sources, preferably as recent as possible. You should compare your results with others in terms of concrete data for better research integrative value. Discussion and Conclusion should be distinct sections. They also should be more expanded. The manuscript does not provide sufficient justification for the described and explicated findings that appear to lack empirical consistency. Insufficient scientific rigor in the original data analysis. The main contributions of the paper should be presented as part of the empirical discussions or critical assessment on the core research outcomes. There is some discussion of the limitations of the study however these are not considered in terms of the implications on the study findings. The relationship between threshold autoregressive processes and non-linear time series as regards crisis-based economic uncertainty has not been covered, and thus such sources can be cited:
Barbu, C. M., Florea, D. L., Dabija, D. C., and Barbu, M. C. R. (2021). “Customer Experience in Fintech,” Journal of Theoretical and Applied Electronic Commerce Research 16(5): 1415–1433. doi: 10.3390/jtaer16050080.
Kliestik, T., Valaskova, K., Lăzăroiu, G., Kovacova, M., and Vrbka, J. (2020). “Re- maining Financially Healthy and Competitive: The Role of Financial Predictors,” Journal of Competitiveness 12(1): 74–92. doi: 10.7441/joc.2020.01.05.
Vătămănescu, E.-M., Alexandru, V.-A., Mitan, A., and Dabija, D.-C. (2020). “From the Deliberate Managerial Strategy towards International Business Performance: A Psychic Distance vs. Global Mindset Approach,” Systems Research and Behavioral Science 37(2): 374–387. doi: 10.1002/sres.2658.

Author Response

Please see attached file

Author Response File: Author Response.pdf

Reviewer 3 Report

Thank you for the study. In this paper some tools is considered to model 
Chilean economic uncertainty time series. 

I have a few questions and comments.

1. How are the results of the BCI and CPI calculations being used in Chile? Could you give examples of their further use? 

2. You should rename your proposed section "Conclusion and Discussion" to "Discussion and Conclusion", as it would be more logical to discuss the results first, and then move on to the summary conclusions. 

3. It is advisable to broaden the content of the discussion. It's important to express your opinion on the use of the tools you propose in analysing and forecasting the dynamics of BCI and CPI. It would also be interesting to know your views on the forecasting capabilities of the indices in the event of sudden impact of disruptive factors such as a pandemic on the socio-economic system.

I wish you success in your further research.

Author Response

Please see attached file

Author Response File: Author Response.pdf

Round 2

Reviewer 2 Report

This revised version can be published.

Reviewer 3 Report

Comments and suggestions have been taken into account. The article has been improved.