Common factors in Latin America's business cycles

Marco Aiolfi, Luis Catão () and Allan Timmermann

Journal of Development Economics, 2011, vol. 95, issue 2, 212-228

Abstract: We develop a common factor approach to reconstruct new business cycle indices for Argentina, Brazil, Chile, and Mexico ("LAC-4") from a new dataset spanning 135Â years. We establish the robustness of our indices through extensive testing and use them to explore business cycle properties in LAC-4 across outward- and inward-looking policy regimes. We find that output persistence in LAC-4 has been consistently high across regimes, whereas volatility has been markedly time-varying but without displaying a clear-cut relationship with openness. We also find a sizeable common regional factor driven by output and interest rates in advanced countries, including during inward-looking regimes.

Keywords: International; business; cycles; Factor; models; Latin; America (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (24)

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Related works:
Working Paper: Common Factors in Latin America?s Business Cycles (2010)
Working Paper: Common Factors in Latin America's Business Cycles (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:deveco:v:95:y:2011:i:2:p:212-228

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