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This paper constructs new business cycle indices for Argentina, Brazil, Chile, and Mexico based on common dynamic factors extracted from a comprehensive set of sectoral output, external data, and fiscal and financial variables spanning over a century. The constructed indices are used to derive a business cycle chronology for these countries and characterize a set of new stylized facts. In particular, we show that all four countries have historically displayed a striking combination of high business cycle and persistence relative to benchmark countries, and that such volatility has been time-varying, with important differences across policy regimes. We also uncover a sizeable common factor across the four economies which has greatly limited scope for regional risk sharing.

Business cycles -- Latin America -- Econometric models. --- Business forescasting -- Latin America. --- Electronic books. -- local. --- Business & Economics --- Economic Theory --- Business cycles --- Business forescasting --- Econometric models. --- Economic cycles --- Economic fluctuations --- Business forecasting --- Cycles --- Business --- Business forecasts --- Forecasting, Business --- Economic forecasting --- Forecasting --- Econometrics --- Exports and Imports --- Macroeconomics --- Public Finance --- Business Fluctuations --- Economic History: Macroeconomics and Monetary Economics --- Growth and Fluctuations: General, International, or Comparative --- Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) --- Classification Methods --- Cluster Analysis --- Principal Components --- Factor Models --- Empirical Studies of Trade --- National Government Expenditures and Related Policies: General --- Economic growth --- Econometrics & economic statistics --- International economics --- Public finance & taxation --- Factor models --- Terms of trade --- Economic recession --- Expenditure --- Econometric analysis --- International trade --- Econometric models --- Economic policy --- nternational cooperation --- Recessions --- Expenditures, Public --- Mexico