 Measuring International Business Cycles by Saving for a Rainy DayMario Crucini () and Mototsugu Shintani No 11-E-14, IMES Discussion Paper Series from Institute for Monetary and Economic Studies, Bank of Japan Abstract: We examine the business cycles of the member countries of the G-7 and Australia based on the cyclical measure considered by Cochrane ( 1994). The measure is motivated by the prediction that the representative consumer changes savings in response to temporary deviations of income from its stochastic trend, while satisfying a long-run budget constraint. We also compare Cochrane's original cyclical measure and an alternative simple saving-based measure and show that they track each other. Our analysis reveals that the extent of international business cycle comovement and the Great Moderation are significantly altered when the saving-based measures are employed in place of commonly used univariate business cycle filters. Keywords: Error correction model; the Great Moderation; international comovement puzzle; permanent income hypothesis; stochastic trends; trend cycle decomposition (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ime:imedps:11-e-14 Access Statistics for this paper More papers in IMES Discussion Paper Series from Institute for Monetary and Economic Studies, Bank of Japan Contact information at EDIRC. |
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