International Business Cycles: World, Region, and Country-Specific Factors

Ayhan Kose, Christopher Otrok and Charles Whiteman ()

American Economic Review, 2003, vol. 93, issue 4, 1216-1239

Abstract: 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. (JEL F41, E32, C11, C32)

Date: 2003
Note: DOI: 10.1257/000282803769206278
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