Time-heterogeneous impacts of global temperature cycle on world business cycle

Kyungsik Nam

Journal of Applied Economics, 2024, vol. 27, issue 1, 2428737

Abstract: We study the statistical relationship between the world business cycle and the global temperature cycle. To amplify the signal-to-noise ratio, we estimate a two-state latent dynamic process from the original data using the endogenous regime-switching methodology. Subsequently, we apply a time-varying structural VAR analysis to identify the time-heterogeneous relationship between the extracted latent factors. Our findings provide empirical evidence that the global mean temperature cycle has a negative impact on the world business cycle during super El Niño periods, which are characterized by relatively high temperature variance records given the past information.

Date: 2024
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DOI: 10.1080/15140326.2024.2428737

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