全球智库信息集成服务系统(G2TT): DP7671 Common Factors in Latin America?s Business Cycles

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP7671
	DP7671 Common Factors in Latin America?s Business Cycles
	Henry Allan Timmermann; Marco Aiolfi; Luis Catao
发表日期	2010-01-31
出版年	2010
语种	英语
摘要	We develop a common factor approach to reconstruct new business cycle indices for Argentina, Brazil, Chile, and Mexico ("LAC-4") from an unprecedentedly comprehensive dataset spanning 135 years. We establish the robustness of our indices through a variety of tests, use the indices to explore business cycle properties in LAC-4 and compare them with other countries across outward- and inward-looking policy regimes. We find that output persistence in LAC-4 has been consistently high across regimes, whereas volatility was strikingly high during the pre-1929 outward-looking regime but declined during the most recent shift towards greater openness. We also find a sizeable common regional factor driven by output and interest rates in advanced countries, including during inward-looking regimes
主题	Financial Economics
关键词	Factor models International business cycles Latin america
URL	https://cepr.org/publications/dp7671
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/536507
推荐引用方式 GB/T 7714	Henry Allan Timmermann,Marco Aiolfi,Luis Catao. DP7671 Common Factors in Latin America?s Business Cycles. 2010.