International Business Cycle Accounting
No 09-E-29, IMES Discussion Paper Series from Institute for Monetary and Economic Studies, Bank of Japan
In this paper, I extend the business cycle accounting method a la Chari, Kehoe and McGrattan (2007) to a two-country international business cycle model and quantify the effect of the disturbances in relevant markets on the business cycle correlation between Japan and the US over the 1980-2008 period. This paper finds that disturbances in the labor market and production efficiency are important in accounting for the recent increase in the cross-country output correlation. If international financial market integration is important for considering the recent increase in cross-country output correlation, it must operate through an increase in the cross-country correlation of disturbances in the labor market and production efficiency, and not in the domestic investment market.
Keywords: Business Cycle Accounting; International Business Cycles (search for similar items in EconPapers)
JEL-codes: E32 F41 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-acc, nep-bec, nep-dge, nep-mac and nep-opm
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Working Paper: International Business Cycle Accounting (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:ime:imedps:09-e-29
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