Measuring business cycles intra-synchronization in us: a regime-switching interdependence framework
Danilo Leiva-Leon ()
No 1726, Working Papers from Banco de España, Working Papers Homepage
This paper proposes a Markov-switching framework to endogenously identify periods where economies are more likely to (i) synchronously enter recessionary and expansionary phases, and (ii) follow independent business cycles. The reliability of the framework is validated with simulated data in Monte Carlo experiments. The framework is applied to assess the timevarying intra-country synchronization in US. The main results report substantial changes over time in the cyclical affiliation patterns of US states, and show that the more similar the economic structures of states, the higher the correlation between their business cycles. A synchronization-based network analysis discloses a change in the propagation pattern of aggregate contractionary shocks across states, suggesting that the US has become more internally synchronized since the early 1990s.
Keywords: business cycles; Markov-Switching; network analysis (search for similar items in EconPapers)
JEL-codes: E32 C32 C45 (search for similar items in EconPapers)
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Journal Article: Measuring Business Cycles Intra-Synchronization in US: A Regime-switching Interdependence Framework (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:1726
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