Common factors in Latin America's business cycles
By: prepared by Marco Aiolfi, Luis Catão, Allan Timmermann.
Contributors: Timmermann, Allan.; Catão, Luis.; International Monetary Fund. Research Dept.
Series: IMF working paper -- WP/06/49
Publisher: International Monetary Fund, Research Dept.
Published: 2006
Place of publication: Washington, D.C
Language: eng
Number of pages: 62
Subjects: Business cycles -- Latin America -- Econometric models.
Description: 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.
Notes: "February 2006."

Includes bibliographical references (p. 23-27).

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