The role of international factors in the business cycle: A multi-country study

• 成果类型: Article
• 署名作者: Norrbin, SC; Schlagenhauf, DE
• 署名单位: Arizona State University; Arizona State University-Tempe; State University System of Florida; Florida State University
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/0022-1996(95)01385-7
• 发表日期: 1996
• 页码: 85-104
• 关键词: business cycles; dynamic factor analysis

摘要

Empirical research has been conducted on the various theories of the business cycle over many countries. However, very little research has attempted to undertake a multi-country disaggregate investigation into the sources of output change. This paper decomposes fluctuations in industry output in a particular country into: (1) a nation-specific shock; (2) an industry-specific shock; (3) a common shock; and (4) an idiosyncratic factor. Using a dynamic factor analysis state-space approach, the paper finds that the industry-specific impulse explains a significant but small part of the variance of the forecast error. This provides limited support for the disaggregated real business cycle paradigm.