Business cycle and macroeconomic policy coordination in MERCOSUR

The paper analyzes cyclical comovements in the Mercosur area differentiating idiosyncratic from common shocks. In the Mercosur (or any region for that matter) shocks can be country-specific, affecting only one country or a specific set of countries (for example, a weather-related shock, a domestic p...

Descripción completa

Guardado en:
Detalles Bibliográficos
Autores principales: González-Rozada, Martín, Fanelli, José
Formato: Documento de trabajo acceptedVersion
Publicado: Universidad Torcuato Di Tella. Escuela de Negocios. Centro de Investigaciones en Finanzas (CIF) 2017
Materias:
Ciclos económicos
Mercosur
Acceso en línea:http://repositorio.utdt.edu/handle/utdt/6256
Aporte de:
Repositorio Digital Universidad Torcuato Di Tella de Universidad Torcuato Di Tella
id I57-R16320.500.13098-6256
record_format dspace
institution Universidad Torcuato Di Tella
institution_str I-57
repository_str R-163
collection Repositorio Digital Universidad Torcuato Di Tella
topic Ciclos económicos
Mercosur
spellingShingle Ciclos económicos
Mercosur
González-Rozada, Martín
Fanelli, José
Business cycle and macroeconomic policy coordination in MERCOSUR
description The paper analyzes cyclical comovements in the Mercosur area differentiating idiosyncratic from common shocks. In the Mercosur (or any region for that matter) shocks can be country-specific, affecting only one country or a specific set of countries (for example, a weather-related shock, a domestic policy shock); or they can be common to the entire region (for example, a change in the conditions in international capital markets or a world recession). Propagation mechanisms, in turn, are important because a shock that was initially country-specific, originating in one country, might eventually spillover to others. We build on the unobserved component approach to decompose the Mercosur countries’ real GDP (seasonally adjusted) fluctuations into these three components and compare them with previous results. The main findings in the paper are: first, common factors originating in impulses stemming from changes in investor’s sentiment are relevant to explaining regional output comovements and the spillover effects between neighbors are significant. Second, volatility matters, and matters especially in the case of recent regional agreements. Supply shocks in Mercosur countries tend to be larger than in the US and European countries. Third, finance matters for both volatility and output/price dynamics. Accelerator effects may be important in explaining some features of the output/price dynamics that the standard models based on vector autoregression techniques are unable to account for.
format Documento de trabajo
acceptedVersion
author González-Rozada, Martín
Fanelli, José
author_facet González-Rozada, Martín
Fanelli, José
author_sort González-Rozada, Martín
title Business cycle and macroeconomic policy coordination in MERCOSUR
title_short Business cycle and macroeconomic policy coordination in MERCOSUR
title_full Business cycle and macroeconomic policy coordination in MERCOSUR
title_fullStr Business cycle and macroeconomic policy coordination in MERCOSUR
title_full_unstemmed Business cycle and macroeconomic policy coordination in MERCOSUR
title_sort business cycle and macroeconomic policy coordination in mercosur
publisher Universidad Torcuato Di Tella. Escuela de Negocios. Centro de Investigaciones en Finanzas (CIF)
publishDate 2017
url http://repositorio.utdt.edu/handle/utdt/6256
work_keys_str_mv AT gonzalezrozadamartin businesscycleandmacroeconomicpolicycoordinationinmercosur
AT fanellijose businesscycleandmacroeconomicpolicycoordinationinmercosur
bdutipo_str Repositorios
_version_ 1764820543061622786

Ejemplares similares