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Common Factors in Latin America's Business Cycles

Author/Editor: Aiolfi, Marco | Catão, Luis | Timmermann, Allan
Authorized for Distribution: February 1, 2006
Electronic Access: Free Full Text (PDF file size is 996KB)
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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.
 
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Series: Working Paper No. 06/49
Subject(s): Business cycles | Latin America | Argentina | Brazil | Chile | Mexico | Economic models
Author's keyword(s): Business cycles | factor models | Latin America
 
English  
    Published:   February 1, 2006        
    ISBN/ISSN:   1934-7073   Format:   Paper
    Stock No:   WPIEA2006049   Pages:   64
    Price:   US$15.00 (Academic Rate: US$15.00 )
       
     
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