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Dynamics of global business cycle interdependence

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  • Ductor, Lorenzo
  • Leiva-Leon, Danilo

Abstract

In this paper, we provide a comprehensive analysis of the time-varying interdependence among the economic cycles of the major world economies during the post-Great Moderation period. We document a significant increase in the global business cycle interdependence occurred in the early 2000s. Such increase is mainly attributed to the emerging market economies, since their business cycles became more synchronized with the rest of the world around that time. Moreover, we find that the increase in global interdependence is highly related to decreasing differences in sectoral composition among countries.

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  • Ductor, Lorenzo & Leiva-Leon, Danilo, 2016. "Dynamics of global business cycle interdependence," Journal of International Economics, Elsevier, vol. 102(C), pages 110-127.
  • Handle: RePEc:eee:inecon:v:102:y:2016:i:c:p:110-127
    DOI: 10.1016/j.jinteco.2016.07.003
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    More about this item

    Keywords

    Business cycles; Markov-switching; Network analysis; Model uncertainty;
    All these keywords.

    JEL classification:

    • C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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