International Business Cycles and Long - Run Growth: An analysis with Markov-Switching and Cointegration Methods

Juergen Kähler and Volker Marnet
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Juergen Kähler: ZEW & Universität Mannheim
Volker Marnet: ZEW, Mannheim
Authors registered in the RePEc Author Service: Juergen Kaehler

No 1992042, Discussion Papers (REL - Recherches Economiques de Louvain) from Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)

Abstract: In this article, we concern ourselves with the modelling of macroe- conomic time series within the unit-roots framework. We apply two approaches which seem to be well suited to model business cycles and long-run growth phenomena. First, we apply the Markov-switching model which is built around the idea that a variable may be asso- ciated with different regimes. We extend this approach to allow for asymmetries in business cycles and find that with this modification the model identifies regimes which cannot be associated with notions of the business cycle. Second, in a cointegration analysis we examine common stochastic trends and international transmission of macroeco- nomic shocks. The results show that transient shocks do not vanish, but have long persistent effects. Furthermore, we supplement the coin- tegration approach with an impulse response analysis and find that there exists a transmission of shocks between countries which indi- cates great international dependencies in economic activity

Pages: 18
Date: 1992-09-01
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:ctl:louvre:1992042

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