A New Approach to Infer Changes in the Synchronization of Business Cycle Phases

Danilo Leiva-Leon ()

MPRA Paper from University Library of Munich, Germany

Abstract: This paper proposes a Markov-switching framework useful to endogenously identify regimes where economies enter recessionary and expansionary phases synchronously, and regimes where economies are unsynchronized following independent business cycle phases. The reliability of the framework to track synchronization changes is corroborated with Monte Carlo experiments. An application to the case of U.S. states reports substantial changes over time in the cyclical affiliation patterns of states. Moreover, a network analysis discloses a change in the propagation pattern of aggregate contractionary shocks across states, suggesting that regional economies in U.S. have become more interdependent since the early 90s.

Keywords: Business Cycles; Markov-Switching; Network Analysis. (search for similar items in EconPapers)
JEL-codes: C32 C45 E32 (search for similar items in EconPapers)
Date: 2013-06-17
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: A New Approach to Infer Changes in the Synchronization of Business Cycle Phases (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:54452

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