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Common Factors in Latin America's Business Cycles
Author:
Mr. Allan Timmermann
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,
Mr. Luis Catão
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Mr. Marco Aiolfi
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Series:
IMF Working Papers
Volume/Issue:
Volume 2006: Issue 049
Language:
English
Publication Date:
01 Feb 2006
DOI:
https://doi.org/10.5089/9781451863093.001
ISBN:
9781451863093
ISSN:
1018-5941
Pages:
64
Keywords:
WP; real GDP; standard deviation; economic activity; government spending; Business Cycles; Factor Models; Latin America; business cycle volatility; shortening business cycle length; volatility in Latin America; time series; backcasted business cycle; density function; business cycle driver; Terms of trade; Economic recession; Global; Middle East; Africa; Asia and Pacific
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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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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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund