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Common Factors in Latin America's Business Cycles

Mr.Marco AiolfiMr.Allan TimmermannMr.Luis Catão

出版	International Monetary Fund, 2006-02-01
主題	Business & Economics / Economics / MacroeconomicsBusiness & Economics / EconometricsBusiness & Economics / Exports & Imports
ISBN	14518630989781451863093
URL	http://books.google.com.hk/books?id=UaPxzQEACAAJ&hl=&source=gbs_api

註釋

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.