Common Factors in Latin America's Business Cycles / Allan Timmermann, Luis Catão, Marco Aiolfi.

Format:

Book

Government document

Author/Creator:

Timmermann, Allan.

Contributor:

Aiolfi, Marco.

Catão, Luis.

International Monetary Fund. Research Department.

Series:

IMF Working Papers; Working Paper ; No. 2006/049

IMF Working Papers

Language:

English

Subjects (All):

Business cycles--Latin America--Econometric models.

Business cycles.

Business forescasting--Latin America.

Business forescasting.

Physical Description:

1 online resource (64 p.)

Edition:

1st ed.

Place of Publication:

Washington, D.C. : International Monetary Fund, 2006.

Language Note:

English

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.

Contents:

Contents; I. INTRODUCTION; II. ECONOMETRIC FRAMEWORK; III. NEW BUSINESS CYCLE INDICES FOR LATIN AMERICA; IV. STYLIZED BUSINESS CYCLE FACTS; V. CONCLUSIONS; REFERENCES

Notes:

"February 2006."

Includes bibliographical references.

Description based on print version record.

ISBN:

9786613821218

9781462390175

146239017X

9781452798585

1452798583

9781282448025

1282448021

9781451908459

1451908458

OCLC:

694141211