Disentangling business cycles and macroeconomic policy in Mercosur: a VAR and unobserved components model approaches

Jean-Pierre Allegret () and Alain Sand-Zantman ()
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Jean-Pierre Allegret: GATE - Groupe d'analyse et de théorie économique - UL2 - Université Lumière - Lyon 2 - ENS LSH - Ecole Normale Supérieure Lettres et Sciences Humaines - CNRS - Centre National de la Recherche Scientifique
Alain Sand-Zantman: GATE - Groupe d'analyse et de théorie économique - UL2 - Université Lumière - Lyon 2 - ENS LSH - Ecole Normale Supérieure Lettres et Sciences Humaines - CNRS - Centre National de la Recherche Scientifique

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Abstract: Monetary integration in Mercosur processed in a context of strong macroeconomic volatility. This paper analyzes the feasibility of a monetary union within this zone. Instead of taking in account all the criteria of the optimal currencies areas, this study focuses on the macroeconomic cycles in Argentina, Brazil, and Uruguay. First, we analyse cross-correlation to identify the degree of cycle synchronization. Second, a structural VAR model is built for each country. It allows us to determine the sources of shocks which hit these countries. Third, we decompose structural innovations -especially economic policies shocks- of domestic SVAR into unobservable common and idiosyncratic components using a state-space model. We assess in what extent economic policies are coordinated between the Mercosur countries.

Keywords: Business Cycles; OCA; Comovement; VAR; Unobserved components model; Mercosur (search for similar items in EconPapers)
Date: 2006-09
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00134317
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Citations: View citations in EconPapers (4)

Published in 2006

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Related works:
Journal Article: Disentangling Business Cycles and Macroeconomic policy in Mercosur: a VAR and an Unobserved Components Models Approaches (2007)
Working Paper: Disentangling business cycles and macroeconomic policy in Mercosur: a VAR and unobserved components model approaches (2007)
Working Paper: Disentangling business cycles and macroeconomic policy in Mercosur: a VAR and unobserved components model approaches (2006)
Working Paper: Disentabling business cycles and macroeconomic policy in Mercosur: a VAR and unobserved components model approaches (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00134317

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