International Business Cycle Coherence and Phases- A spectral analysis of output fluctuations of G7 economies

Peijie Wang

No 2008-FIN-01, Working Papers from IESEG School of Management

Abstract: This paper examines international linkages of co-movements in output fluctuations amongst G7 economies in the frequency domain. The paper has identified patterns in international business cycle co-movements among the G7, offering a general outlook of international business cycle co-movements and detailing the lower frequency, higher frequency and middle range characteristics of international linkages of output fluctuations. The main findings of the study are that co-movements among G7 economies are considerably stronger at lower frequencies, with clearer patterns of linkages of international output fluctuations, than those at higher frequencies and in middle ranges. The results and findings show support for real business cycle theory being extended to an international arena, with long effect real shocks impacting economies across borders.

Keywords: business cycles; frequency domain; coherence; phase (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2008-06
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