¿Menos volátil pero más expuesta? Cambios estructurales en la volatilidad cíclica del crecimiento en América Latina

Abstract:

This paper analyzes structural breaks in the cyclical GDP volatility of six Latin American countries (Argentina, Brazil, Chile, Mexico, Peru, and Uruguay) between 1980 and 2023, controlling for international volatility. The results show a heterogeneous moderation process: Chile, Peru, and Uruguay each exhibit a single break with volatility reductions BETWEEN 38% to 60%; Argentina shows two breaks, with an initial moderation followed by a rebound after 2015; and no significant breaks are found in Brazil or Mexico. The multivariate analysis indicates that this moderation reflects lower intrinsic domestic volatility combined with greater sensitivity to external volatility, ruling out both regional decoupling and the "good luck hypothesis" as the main explanations.

Keywords: business cycle volatility; structural breaks; Latin America.