Similarities and convergence in G-7 cycles

• 成果类型: Article
• 署名作者: Canova, Fabio; Ciccarelli, Matteo; Ortega, Eva
• 署名单位: European Central Bank; ICREA; Centre de Recerca en Economia Internacional (CREI); Pompeu Fabra University; Banco de Espana
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2005.10.022
• 发表日期: 2007
• 页码: 850-878
• 关键词: business cycles; G7 countries; panel data; Bayesian methods

摘要

This paper examines the properties of G-7 cycles using a multicountry Bayesian panel VAR model with time variations, unit specific dynamics and cross-country interdependences. We demonstrate the presence of a significant world cycle and show that country specific indicators play a much smaller role. We detect differences across business cycle phases but, apart from an increase in synchronicity in the late 1990s, find little evidence of major structural changes. We also find no evidence of the existence of a Euro specific cycle or of its emergence in the late 1990s. (c) 2006 Elsevier B.V. All rights reserved.