Common Factors in Latin America's Business Cycles

Author/Editor:

Allan Timmermann ; Luis Catão ; Marco Aiolfi

Publication Date:

February 1, 2006

Electronic Access:

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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary:

This paper constructs new business cycle indices for Argentina, Brazil, Chile, and Mexico based on common dynamic factors extracted from a comprehensive set of sectoral output, external data, and fiscal and financial variables spanning over a century. The constructed indices are used to derive a business cycle chronology for these countries and characterize a set of new stylized facts. In particular, we show that all four countries have historically displayed a striking combination of high business cycle and persistence relative to benchmark countries, and that such volatility has been time-varying, with important differences across policy regimes. We also uncover a sizeable common factor across the four economies which has greatly limited scope for regional risk sharing.

Series:

Working Paper No. 06/49

Subject:

English

Publication Date:

February 1, 2006

ISBN/ISSN:

9781451863093/1018-5941

Stock No:

WPIEA2006049

Price:

$15.00 (Academic Rate:$15.00)

Format:

Paper

Pages:

64

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