The Identification of the Causes of Business Cycles Across Countries

Don Schlagenhauf and Stefan Norrbin

No 1990/004, IMF Working Papers from International Monetary Fund

Abstract: Empirical research has been conducted on the various theories of the business cycle over many countries. However, very little research has attempted to undertake a multi-country disaggregate investigation into the sources of output change. This paper decomposes fluctuations in industry output in a particular country into: (1) a nation specific shock; (2) an industry specific shock; (3) a world shock; and (4) an idiosyncratic factor. Using a dynamic factor analysis-state-space approach, the paper finds that the nation-specific shock is the most important impulse.

Keywords: WP; business cycle; dummy variable; fiscal policy; time series; output change; demand management policy; factor equation; matrix Wn; nation-specific factor; time series model; Business cycles; Monetary base; Industrial production; Exchange rate arrangements; Oil prices; Global (search for similar items in EconPapers)
Pages: 26
Date: 1990-01-01
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