Understanding the evolution of world business cycles

• 成果类型: Article
• 署名作者: Kose, M. Ayhan; Otrok, Christopher; Whiteman, Charles H.
• 署名单位: International Monetary Fund; University of Virginia; University of Iowa
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2007.10.002
• 发表日期: 2008
• 页码: 110-130
• 关键词: International business cycles; GLOBALIZATION; transmission of macroeconomic fluctuations

摘要

This paper studies the changes in world business cycles during the period 1960-2003. We employ a Bayesian dynamic latent factor model to estimate common and country-specific components in the main macroeconomic aggregates (output, consumption, and investment) of the G-7 countries. We then quantify the relative importance of the common and country components in explaining comovement in each observable aggregate over three distinct time periods: the Bretton Woods (BW) period (1960: 1 1972:2), the period of common shocks (1972:3-1986:2), and the globalization period (1986:3-2003:4). The results indicate that the common (G-7) factor explains, on average, a larger fraction of output, consumption and investment volatility in the globalization period than it does in the BW period. (C) 2007 Elsevier B.V. All rights reserved.