The propagation of industrial business cycles
Maximo Camacho () and
Danilo Leiva-Leon ()
No 1728, Working Papers from Banco de España, Working Papers Homepage
This paper examines the evolution of the distribution of industry-specific business cycle linkages, which are modelled through a multivariate Markov-switching model and estimated by Gibbs sampling. Using non parametric 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 bycles; output growth; time series. (search for similar items in EconPapers)
JEL-codes: E32 C22 E27 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-bec and nep-mac
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Journal Article: THE PROPAGATION OF INDUSTRIAL BUSINESS CYCLES (2019)
Working Paper: The Propagation of Industrial Business Cycles (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:1728
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