Common Factors in Latin America?s Business Cycles

Allan Timmermann, Marco Aiolfi and Catão, Luís
Authors registered in the RePEc Author Service: Luís A.V. Catão ()

No 7671, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We develop a common factor approach to reconstruct new business cycle indices for Argentina, Brazil, Chile, and Mexico ("LAC-4") from an unprecedentedly comprehensive dataset spanning 135 years. We establish the robustness of our indices through a variety of tests, use the indices to explore business cycle properties in LAC-4 and compare them with other countries across outward- and inward-looking policy regimes. We find that output persistence in LAC-4 has been consistently high across regimes, whereas volatility was strikingly high during the pre-1929 outward-looking regime but declined during the most recent shift towards greater openness. We also find a sizeable common regional factor driven by output and interest rates in advanced countries, including during inward-looking regimes

Keywords: Factor models; International business cycles; Latin america (search for similar items in EconPapers)
JEL-codes: E32 F41 N10 (search for similar items in EconPapers)
Date: 2010-01
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Common factors in Latin America's business cycles (2011)
Working Paper: Common Factors in Latin America's Business Cycles (2006)
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