Common factors in Latin America's business cycles

• 成果类型: Article
• 署名作者: Aiolfi, Marco; Catao, Luis A. V.; Timmermann, Allan
• 署名单位: Inter-American Development Bank; International Monetary Fund; University of California System; University of California San Diego
• 刊物名称: JOURNAL OF DEVELOPMENT ECONOMICS
• ISSN/ISSBN: 0304-3878
• DOI: 10.1016/j.jdeveco.2010.04.003
• 发表日期: 2011
• 页码: 212-228
• 关键词: International business cycles; factor models; Latin America

摘要

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 135 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. (c) 2010 International Monetary Fund. Published by Elsevier B.V. All rights reserved.