How Financial Conditions Matter Differently across Latin America

By Luis Brandão-Marques, . Esther Perez Ruiz

October 30, 2017

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Luis Brandão-Marques, and . Esther Perez Ruiz How Financial Conditions Matter Differently across Latin America, (USA: International Monetary Fund, 2017) accessed December 22, 2024

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.

Summary

This paper develops comparable financial conditions indices (FCIs) for the six large and most financially-integrated Latin American economies (LA6) by following Korobilis (2013) and Koop and Korobilis (2014). The main findings are as follows. First, the estimated FCIs are influenced by a commodity cycle, a global financial cycle, as well as country-specific episodes of financial distress. Second, by early 2017, financial conditions remained favorable in most LA6 economies relative to historical standards. Third, the impact of financial shocks on economic activity widely varies across LA6 and is otherwise found to be stronger in periods of financial stress. Fourth, exposure to regional financial spillovers also differs across LA6.

Subject: Credit, Financial crises, Financial institutions, Financial sector policy and analysis, Loans, Money, Spillovers

Keywords: Credit, FAVAR, FCI shock, FCI variability, Financial condition, Financial conditions indexes, Financial conditions indices, Financial spillovers, Global, La República Argentina, Loans, Purges FCI variable, Spillovers, TVP-FAVAR, TVP-VAR FCI, Unpurged FCIs, World commodity price, WP

Publication Details

Pages:

27
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2017/218
Stock No:

WPIEA2017218
ISBN:

9781484325506
ISSN:

1018-5941

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