Characterizing the Business Cycles of Emerging Economies
Cesar Calderon () and
Rodrigo Fuentes
No 371, Documentos de Trabajo from Instituto de Economia. Pontificia Universidad Católica de Chile.
Abstract:
We document the properties of business cycles using the dating algorithm by Harding andPagan (2002) on a quarterly database for 58 countries —21 industrial countries and 37 emerging market economies (EMEs)— from 1970q1 to 2007q4. We find that: (a) recessions are deeper, steeper and costlier among EMEs (especially, in East Asia and Latin America) and that recoveries are swifter and stronger. (b) Recessions have become less costly during the globalization period (1990-2007) than before (1970-89) for industrial countries and EMEs. (c) The main characteristics of downturns are amplified when associated to crisis episodes. (d) The time path of macroeconomic indicators around peaks in real GDP is more volatile in downturns associated with crisis compared to other downturns. (e) Financial cycles (credit and asset prices) tend to precede real output cycles. (f) Credit and stock prices are strongly pro-cyclical while real exchange rates, capital flows and terms of trade tend to be a-cyclical. Finally, an exploratory analysis on the conditional correlates of the cost of recessions shows that: (i) adverse terms of trade shocks raise the cost of recessions in countries with a more open trade regime and deeper financial markets. (ii) Recessions tend to be deeper if they coincide with a sudden stop, but the effect is smaller in countries with deeper domestic credit markets. (iii) Floating exchange rate regimes appear to act as shock absorbers.
Keywords: Business cycles; peaks and troughs; emerging markets (search for similar items in EconPapers)
JEL-codes: E32 F41 (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-cba, nep-cwa, nep-mac and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)
Downloads: (external link)
https://www.economia.uc.cl/docs/doctra/dt-371_2011.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (https://www.economia.uc.cl/docs/doctra/dt-371_2011.pdf [301 Moved Permanently]--> https://economia.uc.cl/docs/doctra/dt-371_2011.pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:ioe:doctra:371
Access Statistics for this paper
More papers in Documentos de Trabajo from Instituto de Economia. Pontificia Universidad Católica de Chile. Contact information at EDIRC.
Bibliographic data for series maintained by Jaime Casassus ().