IDEAS home Printed from https://ideas.repec.org/p/rbp/wpaper/2016-013.html
   My bibliography  Save this paper

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

Author

Listed:
  • Pérez Forero, Fernando

    (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.

Suggested Citation

  • Pérez Forero, Fernando, 2016. "Cyclical Fluctuations, Co-movement and the Role of External Shocks in Latin America," Working Papers 2016-013, Banco Central de Reserva del Perú.
    • Handle: RePEc:rbp:wpaper:2016-013
    as

    Download full text from publisher

    File URL: https://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2016/documento-de-trabajo-13-2016.pdf
    File Function: Application/pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Business Cycles; Panel Vector Autoregressions; Latin American economies; Bayesian Methods;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rbp:wpaper:2016-013. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Research Unit (email available below). General contact details of provider: https://edirc.repec.org/data/bcrgvpe.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.