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The Propagation of Industrial Business Cycles

Maximo Camacho () and Danilo Leiva-Leon ()

Staff Working Papers from Bank of Canada

Abstract: This paper examines the business cycle linkages that propagate industry-specific business cycle shocks throughout the economy in a way that (sometimes) generates aggregated cycles. The transmission of sectoral business cycles is modelled through a multivariate Markov-switching model, which is estimated by Gibbs sampling. Using nonparametric density estimation approaches, we find that the number and location of modes in the distribution of industrial dissimilarities change over the business cycle. There is a relatively stable trimodal pattern during expansionary and recessionary phases characterized by highly, moderately and lowly synchronized industries. However, during phase changes, the density mass spreads from moderately synchronized industries to lowly synchronized industries. This agrees with a sequential transmission of the industrial business cycle dynamics.

Keywords: Business fluctuations and cycles; Domestic demand and components; Econometric and statistical methods (search for similar items in EconPapers)
JEL-codes: C22 E27 E32 (search for similar items in EconPapers)
Pages: 42 pages
Date: 2014
New Economics Papers: this item is included in nep-bec and nep-mac
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Related works:
Journal Article: THE PROPAGATION OF INDUSTRIAL BUSINESS CYCLES (2019) Downloads
Working Paper: The propagation of industrial business cycles (2017) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:14-48

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