Half a century of empirical evidence of business cycles in OECD countries

Ioanna Konstantakopoulou and Mike Tsionas

Journal of Policy Modeling, 2014, vol. 36, issue 2, 389-409

Abstract: This paper presents evidence regarding the existence of common business cycles in OECD countries. More specifically, the paper examines the extent to which these cycles relate to each other over time. Business cycle components of output are extracted by adopting the Hodrick–Prescott, Baxter–King and the Christiano–Fitzgerald filters. The degree of business cycle co-movements is determined by evaluating the cross-correlation of the cyclical components of output in selected countries. We also implement the bound-testing approach proposed by Pesaran, Shin and Smith (2001) to investigate the long-run and short-run relations among the business cycle components of output. The study covers the period from 1960 to 2010. The empirical results suggest that there are two distinct cycles in the OECD countries: the Euro-area cycle, which includes the business cycles of Germany, France, Italy, Netherlands, Austria and Belgium, and the world cycle, which consists of the business cycles of the United States, Canada and the United Kingdom.

Keywords: Business cycles; OECD countries; Business cycle comovements (search for similar items in EconPapers)
JEL-codes: E32 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jpolmo:v:36:y:2014:i:2:p:389-409

DOI: 10.1016/j.jpolmod.2014.01.006

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