The First Global Recession in Decades

Jean Imbs

No 7973, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: I use monthly data on industrial production to estimate the distribution of international business cycle correlations since the 1980's, with focus on the current turmoil. The degree of international correlation in national business cycles since the end of 2008 is unprecedented in three decades. From 2008M12, an upward shift in the cross-sectional distribution of cycles synchronization is sizeable and significant, especially between advanced economies. The magnitude of the shift is unprecedented in recent history, even relative to what happened since 1973 after alternative shocks with worldwide consequences. The shift does not arise because volatilities changed with the crisis. Both goods and assets trade have contributed to this synchronization. The (large and significant) synchronization amongst OECD economies is associated with financial openness. The (weaker) diffusion amongst developing economies tends to happen between trade partners.

Keywords: Financial linkages; International business cycle; Sub-prime crisis; Trade linkages (search for similar items in EconPapers)
JEL-codes: E32 F15 F36 F41 (search for similar items in EconPapers)
Date: 2010-09
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Citations: View citations in EconPapers (129)

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Journal Article: The First Global Recession in Decades (2010)
Working Paper: The First Global Recession in Decades (2010)
Working Paper: The First Global Recession in Decades (2010)
Working Paper: The First Global Recession in Decades (2010)
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