Cyclical Fluctuations, Co-movement and the Role of External Shocks in Latin America

Fernando Pérez Forero ()

No 2016-013, Working Papers from Banco Central de Reserva del Perú

Abstract: This paper compares the business cycles across five Latin American economies (Brazil, Chile, Colombia, Mexico and Peru) for the period 1997-2014. We estimate a Multi-Country VAR through Bayesian Methods, where the model takes into account dynamic interdependencies and time-varying parameters (Canova and Ciccarelli, 2009). We present regional and country-specific indicators of real economic activity. We find a significant common regional component, as well as significant country specific indicators, meaning that there exists some synchronization across business cycles, but at the same time there is some heterogeneity across these economies. We find some heterogeneity before the international financial crisis of 2008 and a more significant co-movent after that date. Furthermore, we explore the transmission at different dates of domestic (country specific) and external shocks such as Chinese GDP growth. Overall, we find that the transmission of both domestic and external shocks are somewhat stable after the Inflation Targeting adoption.

Keywords: Business Cycles; Panel Vector Autoregressions; Latin American economies; Bayesian Methods (search for similar items in EconPapers)
JEL-codes: C11 C33 E32 (search for similar items in EconPapers)
Date: 2016-12
New Economics Papers: this item is included in nep-mac
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.bcrp.gob.pe/docs/Publicaciones/Documen ... -trabajo-13-2016.pdf Application/pdf

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rbp:wpaper:2016-013

Access Statistics for this paper

More papers in Working Papers from Banco Central de Reserva del Perú Contact information at EDIRC.
Bibliographic data for series maintained by Research Unit ().