Measuring World Business Cycles

Allan Gregory, Allen Head () and Jacques Raynauld

No 902, Working Paper from Economics Department, Queen's University

Abstract: Using Kalman filtering and dynamic factor analysis, we decompose fluctuations in real aggregate output, consumption, and investment for the G7 countries into factors that are (i) common across all countries and aggregates, (ii) common across aggregates within a country, and (iii) specific to each data series. In quarterly data for the period 1970-1993, fluctuations in all of the aggregates contain world and country-specific common components which are significant both statistically and economically. Over this period all seven countries experience business cycle episodes primarily attributable to the world cycle and other episodes driven primarily by the country-specific factor. The share of the variance of aggregate output accounted for by the world business cycle in our estimates ranges from 13% for the U.K. to 67% for France. Also, the world common component in growth rates is more strongly serially correlated than is output growth in any of the seven countries.

Keywords: scoring; Kalman filter (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Pages: 34 pages
Date: 1994-06
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.econ.queensu.ca/sites/econ.queensu.ca/files/qed_wp_902.pdf First version 1994 (application/pdf)

Related works:
Journal Article: Measuring World Business Cycles (1997)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:902

Access Statistics for this paper

More papers in Working Paper from Economics Department, Queen's University Contact information at EDIRC.
Bibliographic data for series maintained by Mark Babcock ().