International Business Cycles: Regime Shifts in the Stochastic Process of Economic Growth

H.M. Krozlig

Economics Series Working Papers from University of Oxford, Department of Economics

Abstract: This paper analyzes regime shifts in the stochastic process of economic growth of six major OECD countries over three decades. For the statistical measurement of the underlying global business cycle, we generalize Hamilton's model of the US business cycle to a Markov-switching vector auto-regressive time series model. Applying the model to six series of quarterly GNP growth rates, the paper provides empirical evidence for the dominance of common shocks as the source of international business cycles. For all countries, business cycles can be identified as regime shifts in the mean growth rate occuring mainly simultaneously across countries.

Keywords: BUSINESS CYCLES; ECONOMIC GROWTH (search for similar items in EconPapers)
JEL-codes: E32 O4 (search for similar items in EconPapers)
Date: 1997
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Persistent link: http://EconPapers.repec.org/RePEc:oxf:wpaper:99194

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