Understanding the evolution of world business cycles

Ayhan Kose, Christopher Otrok and Charles Whiteman ()

Journal of International Economics, 2008, vol. 75, issue 1, 110-130

Abstract: This paper studies the changes in world business cycles during the period 1960-2003. We employ a Bayesian dynamic latent factor model to estimate common and country-specific components in the main macroeconomic aggregates (output, consumption, and investment) of the G-7 countries. We then quantify the relative importance of the common and country components in explaining comovement in each observable aggregate over three distinct time periods: the Bretton Woods (BW) period (1960:1-1972:2), the period of common shocks (1972:3-1986:2), and the globalization period (1986:3-2003:4). The results indicate that the common (G-7) factor explains, on average, a larger fraction of output, consumption and investment volatility in the globalization period than it does in the BW period.

Date: 2008
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Working Paper: Understanding the Evolution of World Business Cycles (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:inecon:v:75:y:2008:i:1:p:110-130

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