International business cycles: World, region, and country-specific factors

• 成果类型: Article
• 署名作者: Kose, MA; Otrok, C; Whiteman, CH
• 署名单位: International Monetary Fund; University of Virginia; University of Iowa
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/000282803769206278
• 发表日期: 2003
• 页码: 1216-1239
• 关键词: EXCHANGE-RATE REGIME; economic-fluctuations; EUROPEAN-COUNTRIES; common; TRADE

摘要

The paper investigates the common dynamic properties of business-cycle fluctuations across countries, regions, and the world. We employ a Bayesian dynamic latent factor model to estimate common components in macroeconomic aggregates (output, consumption, and investment) in a 60-country sample covering seven regions of the world. The results indicate that a common world factor is an important source of volatility for aggregates in most countries, providing evidence for a world business cycle. We find that region-specific factors play only a minor role in explaining fluctuations in economic activity. We also document similarities and differences across regions, countries, and aggregates.