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Latin American Falls, Rebounds and Tail

Author

Listed:
  • Luciano Campos

    (Universidad de Alcalá)

  • Danilo Leiva-León

    (Banco de España)

  • Steven Zapata

    (Banco de la República)

Abstract

This paper proposes comprehensive measures of the Latin American business cycle that help to infer the expected deepness of recessions, and strength of expansions, asthey unfold in real time. These measures are based on the largest country economies in the region by accounting for intrinsic features of real activity, such as comovement,nonlinearities, asymmetries, and are also robust to unprecedented shocks, like the COVID-19 pandemics. The proposed measures provide timely updates on (i) inferences on the state of the regional economy, (ii) the underlying momentum embedded in short-term fluctuations of real activity, and (iii) the quantification of macroeconomic tail risks. We evaluate as well the time-varying effects of U.S. financial conditions on the Latin American economy by employing the proposed measures, and identify periods of persistent international spillovers.

Suggested Citation

  • Luciano Campos & Danilo Leiva-León & Steven Zapata, 2022. "Latin American Falls, Rebounds and Tail," Working Papers 145, Red Nacional de Investigadores en Economía (RedNIE).
    • Handle: RePEc:aoz:wpaper:145
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    File URL: https://rednie.eco.unc.edu.ar/files/DT/145.pdf
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    References listed on IDEAS

    as
    1. Juan Antolin-Diaz & Thomas Drechsel & Ivan Petrella, 2017. "Tracking the Slowdown in Long-Run GDP Growth," The Review of Economics and Statistics, MIT Press, vol. 99(2), pages 343-356, May.
    2. Mark Aguiar & Gita Gopinath, 2007. "Emerging Market Business Cycles: The Cycle Is the Trend," Journal of Political Economy, University of Chicago Press, vol. 115(1), pages 69-102.
    3. Daniel J. Lewis & Karel Mertens & James H. Stock & Mihir Trivedi, 2021. "High-Frequency Data and a Weekly Economic Index during the Pandemic," AEA Papers and Proceedings, American Economic Association, vol. 111, pages 326-330, May.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Business Cycles; Factor Model; Nonlinear; Latin America;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications

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