How Financial Conditions Matter Differently across Latin America

Luis Brandão-Marques and Esther Perez Ruiz
Authors registered in the RePEc Author Service: Luis Brandao Marques

No 2017/218, IMF Working Papers from International Monetary Fund

Abstract: This paper develops comparable financial conditions indices (FCIs) for the six large and most financially-integrated Latin American economies (LA6) by following Korobilis (2013) and Koop and Korobilis (2014). The main findings are as follows. First, the estimated FCIs are influenced by a commodity cycle, a global financial cycle, as well as country-specific episodes of financial distress. Second, by early 2017, financial conditions remained favorable in most LA6 economies relative to historical standards. Third, the impact of financial shocks on economic activity widely varies across LA6 and is otherwise found to be stronger in periods of financial stress. Fourth, exposure to regional financial spillovers also differs across LA6.

Keywords: WP; financial condition; financial conditions indices; FAVAR; Financial conditions indexes; TVP-FAVAR; financial spillovers; purges FCI variable; FCI shock; unpurged FCIs; TVP-VAR FCI; world commodity price; FCI variability; la República Argentina; Credit; Loans; Spillovers; Global (search for similar items in EconPapers)
Pages: 27
Date: 2017-10-30
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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