## Common Factors in Latin America's Business Cycles

_IMF Working Papers, February 1, 2006_

## Source details

**Canonical URL:** [Common Factors in Latin America's Business Cycles](https://www.imf.org/en/publications/wp/issues/2016/12/31/common-factors-in-latin-america-s-business-cycles-18820)

## Other formats

- [Markdown version](/en/publications/wp/issues/2016/12/31/common-factors-in-latin-america-s-business-cycles-18820/index.md)
- [Structured JSON version](/en/publications/wp/issues/2016/12/31/common-factors-in-latin-america-s-business-cycles-18820/index.json)
- [Bundle manifest](/en/publications/wp/issues/2016/12/31/common-factors-in-latin-america-s-business-cycles-18820/bundle-manifest.json)

## Bibliographic details
- Authors: Allan Timmermann, Luis Catão, Marco Aiolfi
- Published: February 1, 2006
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451863093.001

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### Methodology and Data
- Constructs new business cycle indices for Argentina, Brazil, Chile, and Mexico based on common dynamic factors.
- Uses 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 the four countries.

### Key findings and stylized facts
- All four countries have historically displayed a striking combination of high business cycle volatility and persistence relative to benchmark countries.
- Such volatility has been time-varying, with important differences across policy regimes.
- There exists a sizeable common factor across the four economies which has greatly limited scope for regional risk sharing.

### Subjects and Analytical Focus
- Business cycles
- Econometric analysis and Factor Models
- Economic growth and Economic recession
- Expenditure and government spending
- International trade and Terms of trade
- Time series analysis, density function, and volatility measures
- Real GDP and backcasted business cycle analysis

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## Content in this bundle

- **8. Volatility**
  - [8. Volatility (Markdown version)](/-/media/websites/imf/imported-full-text-pdf/external/pubs/ft/wp/2006/_wp0649.pdf.md){rel="alternate" type="text/markdown"}
  - [8. Volatility (PDF)](/-/media/websites/imf/imported-full-text-pdf/external/pubs/ft/wp/2006/_wp0649.pdf){rel="external" type="application/pdf"}

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_Source: https://www.imf.org/en/publications/wp/issues/2016/12/31/common-factors-in-latin-america-s-business-cycles-18820_