International business cycles: What are the facts?

• 成果类型: Article
• 署名作者: Ambler, S; Cardia, E; Zimmermann, C
• 署名单位: University of Quebec; University of Quebec Montreal; Universite de Montreal; Universite de Montreal; University of Connecticut
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2003.03.001
• 发表日期: 2004
• 页码: 257-276
• 关键词: stylized facts; business cycles; international comovements

摘要

Modern business cycle theory involves developing models that explain stylized facts. For this strategy to be successful, these facts should be well established. In this paper, we focus on the stylized facts of international business cycles. We use the generalized method of moments and quarterly data from twenty industrialized countries to estimate and test hypotheses concerning pairwise cross-country correlations of macroeconomic aggregates. A remarkable common feature emerges: these correlations are mostly positive, not very high and of a similar order of magnitude. The most important discrepancy with the theory is the low cross-country correlation of consumption. (C) 2003 Elsevier B.V. All rights reserved.