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Breaks in the Variability and Comovement of G-7 Economic Growth

Brian Doyle () and Jon Faust
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Jon Faust: Federal Reserve Board

The Review of Economics and Statistics, 2005, vol. 87, issue 4, 721-740

Abstract: This paper investigates breaks in the variability and comovement of output, consumption, and investment in the G-7 economies. In contrast with most other papers on comovement, we test for changes in comovement, allowing for breaks in mean and variance. Despite claims that rising integration among these economies has increased output correlations among them, we find no clear evidence of an increase in correlation of growth rates of output, consumption, or investment. This finding is true even for the United States and Canada, which have seen a tremendous increase in bilateral trade shares, and for the euro-area members of the G-7. © 2005 President and Fellows of Harvard College and the Massachusetts Institute of Technology.

Date: 2005
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The Review of Economics and Statistics is currently edited by Amitabh Chandra, Olivier Coibion, Bryan S. Graham, Shachar Kariv, Amit K. Khandelwal, Asim Ijaz Khwaja, Brigitte C. Madrian and Rohini Pande

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