Common Factors in Latin America's Business Cycles

 
Author/Editor: Aiolfi, Marco ; Catão, Luis ; Timmermann, Allan
 
Publication Date: February 01, 2006
 
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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(s): Business cycles | Latin America | Argentina | Brazil | Chile | Mexico | Economic models

Author's Keyword(s): Business cycles | factor models | Latin America
 
English
Publication Date: February 01, 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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