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
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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
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
Content in this bundle
- 8. Volatility