Common Factors in Latin America's Business Cycles /

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Bibliographic Details
Author / Creator:	Timmermann, Allan.
Imprint:	Washington, D.C. : International Monetary Fund, 2006.
Description:	1 online resource (64 pages)
Language:	English
Series:	IMF Working Papers ; Working Paper No. 06/49 IMF working paper ; Working Paper no. 06/49.
Subject:	Business cycles -- Latin America -- Econometric models. Business forescasting -- Latin America. Business cycles -- Econometric models Latin America
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/14154000

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Other authors / contributors:	Aiolfi, Marco. Catão, Luis. Timmermann, Allan.
ISBN:	1451908458 9781451908459
Summary:	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.
Standard no.:	10.5089/9781451908459.001

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