Business Cycles across Space and Time

Neville Francis, Michael Owyang and Daniel Soques

Journal of Money, Credit and Banking, 2022, vol. 54, issue 4, 921-952

Abstract: We study the comovement of international business cycles in a time‐series clustering model with regime switching. We extend the framework of Hamilton and Owyang (2012) to include time‐varying transition probabilities to determine what drives simultaneous business cycle turning points. We find four groups, or “clusters,” of countries that experience idiosyncratic recessions relative to the global cycle. In addition, we find the primary indicators of international recessions to be fluctuations in the term spread, equity markets, and geopolitical risk. In out‐of‐sample forecasting exercises, our model is an improvement over standard benchmark models for forecasting both aggregate output growth and country‐level recessions.

Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.1111/jmcb.12860

Related works:
Working Paper: Business Cycles Across Space and Time (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jmoncb:v:54:y:2022:i:4:p:921-952

Access Statistics for this article

Journal of Money, Credit and Banking is currently edited by Robert deYoung, Paul Evans, Pok-Sang Lam and Kenneth D. West

More articles in Journal of Money, Credit and Banking from Blackwell Publishing
Bibliographic data for series maintained by Wiley Content Delivery ().