Common Factors in Latin America's Business Cycles

By Allan G. Timmermann, Luís A. V. Catão, Marco Aiolfi. Social Science Research Network, 2006

112 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/bd3a29cbc810cef85d31de630be82ba25c6e6d8c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Marc Hallin
2. R. Liska
3. Andrés González
4. Andrés Fernández
5. D. Rodríguez
6. Jushan Bai
7. Matteo Barigozzi
8. George Kapetanios

In Finance

1. R. Liska
2. Andrés González
3. Andrés Fernández
4. Marc Hallin
5. D. Rodríguez
6. Matteo Barigozzi

Citations in the corpus

• Sharing a Ride on the Commodities Roller Coaster: Common Factors in Business Cycles of Emerging Economies (2015, methodology): “Because we use the price of the imported good as the numeraire in the model, total expenditure in consumption goods will be ptCt = p h t C h t + C f t (4) where pt is the price of domestic goods in terms of the numeraire.”
• Determining the Number of Factors in the General Dynamic Factor Model (2007, background): “…France, the Netherlands, Germany, Belgium, and the United States; Altissimo et al. (2001), Angelini, Henry, and Mestre (2001), Forni et al. (2003), and Marcellino, Stock, and Watson (2003) for the Euro area; and Aiolfi, Catão, and Timmerman (2005) for South American data, to quote only a few.”