IFCI-SA. An International Financial Conditions Index for South American Economies

Conrado Brum Civelli (), Alejandro Fried Gindel () and Alfredo Garcia-Hiernaux
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Conrado Brum Civelli: Banco Central del Uruguay
Alejandro Fried Gindel: Banco Central del Uruguay

No 2023006, Documentos de trabajo from Banco Central del Uruguay

Abstract: The Russian invasion of Ukraine in early 2022, triggered a wave of risk aversion in the global financial markets. However, in contrast to previous events, South American emerging economies experienced limited impact to this more restrictive global financial environment. To assess the financial conditions of these economies over time, particularly Brazil, Chile and Uruguay, we propose an International Financial Conditions Index for South American economies (IFCI-SA), built from a Dynamic Factor Model. This index includes standard variables provided by the literature, along with sovereign debt risk premia and the most relevant commodity prices for these economies. We use our indicator to study the influential role played by commodity prices in the financial conditions of South American emerging economies from October 2007 to May 2022, paying particular attention to the financial implications stemming from the conflict in Ukraine.

Keywords: International Financial Conditions; South American Economies; Emerging Economies; Dynamic Factor Model (search for similar items in EconPapers)
JEL-codes: F30 F34 F37 G15 G17 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2023
New Economics Papers: this item is included in nep-cis, nep-fdg and nep-ifn
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Journal Article: IFCI-SA: International financial conditions index for South American economies (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:bku:doctra:2023006

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