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Asymmetries and common cycles in Latin America: evidence from Markov-switching models

By Pablo Meja-Reyes, El Colegio Mexiquense and Zinacantepec México


Markov-switching models are estimated to analyse differences between expansions and contractions performances. In general, univariate analysis results imply that recessions are deeper in absolute magnitude, less persistence, and more volatile than expansions. The magnitude of our estimations and the direction of some asymmetries support the idea that business cycles in Latin America are different to business cycles in the United States and other developed countries. On an international perspective, it is found that although there is not a common Latin American cycle, there exists some evidence about common regime shifts and common cycles between Brazil-Peru and Chile-United States. However, it seems that their causes are very different and related to common shocks and similar policies. Therefore, it is concluded that individual business cycles are largely independent in Latin America. JEL classification: C22, C32, E32. Keywords: Markov-switching models, Business cycles, I..

Year: 2007
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