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Are Business Cycles All Alike? A Bandpass Filter Analysis of the Italian and US Cycles

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  • Napoletano Mauro
  • Roventini Andrea
  • Sapio Sandro

Abstract

In this paper, we perform an empirical comparison of Italian and US business cycles. After filtering the time series of the main macroeconomic variables of the two countries, through an approximate bandpass filter, we analyze the cross-correlations between each filtered variable and the filtered GDP, indicator of the business cycle. We find heterogeneity in business cycle dynamics as regards variables related to the industrial structure (see exports, investment in construction), and to the organization of markets (e.g. stock prices, private consumption), interpreted as effects of local path-dependencies. Cyclical components of prices, labor market variables, and monetary policy indicators are almost invariant across economies, reflecting common international drivers, such as the Federal Reserve Bank monetary policy, and international oil prices.

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File URL: http://www.rivisteweb.it/download/article/10.1427/23296
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Bibliographic Info

Article provided by Società editrice il Mulino in its journal Rivista italiana degli economisti.

Volume (Year): (2006)
Issue (Month): 1 ()
Pages: 87-118

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Handle: RePEc:mul:jqat1f:doi:10.1427/23296:y:2006:i:1:p:87-118

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Cited by:
  1. Giovani Dosi & Giorgio Fagiolo & Andrea Roventini & Mauro Napoletano, 2012. "Income Distribution, Credit and Fiscal Policies in an Agent-Based Keynesian Model," INET Research Notes 11, Institute for New Economic Thinking (INET).
  2. Giovanni Dosi & Giorgio Fagiolo & Andrea Roventini, 2008. "Schumpeter Meeting Keynes: A Policy-Friendly Model of Endogenous Growth and Business Cycles," LEM Papers Series 2008/21, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.

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