Description |
1 online resource (62 pages) : illustrations |
Series |
IMF working paper ; WP/06/49 |
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IMF working paper ; WP/06/49.
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Contents |
I. INTRODUCTION; II. ECONOMETRIC FRAMEWORK; III. NEW BUSINESS CYCLE INDICES FOR LATIN AMERICA; IV. STYLIZED BUSINESS CYCLE FACTS; V. CONCLUSIONS; REFERENCES |
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 |
Bibliography |
Includes bibliographical references |
Notes |
Print version record |
Subject |
Business cycles -- Latin America -- Econometric models
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Business forescasting -- Latin America
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Business cycles -- Econometric models
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Latin America
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Form |
Electronic book
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Author |
Catão, Luis, author.
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Timmermann, Allan, author.
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International Monetary Fund. Research Department.
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ISBN |
1282448021 |
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9781282448025 |
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