Timmermann, Allan.
Common Factors in Latin America's Business Cycles Allan Timmermann. [electronic resource] / Allan Timmermann. - Washington, D.C. : International Monetary Fund, 2006. - 1 online resource (64 p.) - IMF Working Papers; Working Paper ; No. 06/49 . - IMF Working Papers; Working Paper ; No. 06/49 .
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.
1451863098 : 15.00 USD
1018-5941
10.5089/9781451863093.001 doi
Business Cycle
Equation
Factor Models
Real GDP
Statistics
Argentina
Brazil
Chile
Mexico
Common Factors in Latin America's Business Cycles Allan Timmermann. [electronic resource] / Allan Timmermann. - Washington, D.C. : International Monetary Fund, 2006. - 1 online resource (64 p.) - IMF Working Papers; Working Paper ; No. 06/49 . - IMF Working Papers; Working Paper ; No. 06/49 .
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.
1451863098 : 15.00 USD
1018-5941
10.5089/9781451863093.001 doi
Business Cycle
Equation
Factor Models
Real GDP
Statistics
Argentina
Brazil
Chile
Mexico