Common Factors in Latin America's Business Cycles
Electronic Access:
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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. 2006/049
Subject:
Business cycles Econometric analysis Economic growth Economic recession Expenditure Factor models International trade Terms of trade
English
Publication Date:
February 1, 2006
ISBN/ISSN:
9781451863093/1018-5941
Stock No:
WPIEA2006049
Pages:
64
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