TY  - BOOK
AU  - Timmermann,Allan
AU  - Aiolfi,Marco
AU  - Catão,Luis
AU  - Timmermann,Allan
TI  - Common Factors in Latin America's Business Cycles
T2  - IMF Working Papers; Working Paper
SN  - 1451863098 :
SN  - 1018-5941
PY  - 2006///
CY  - Washington, D.C.
PB  - International Monetary Fund
KW  - Business Cycle
KW  - imf
KW  - Equation
KW  - Factor Models
KW  - Real GDP
KW  - Statistics
KW  - Argentina
KW  - Brazil
KW  - Chile
KW  - Mexico
N2  - 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
UR  - http://elibrary.imf.org/view/IMF001/01297-9781451863093/01297-9781451863093/01297-9781451863093.xml
UR  - http://www.imfbookstore.org/IMFORG/9781451863093
ER  -