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

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  • Mauro NAPOLETANO
  • Andrea ROVENTINI
  • Sandro SAPIO

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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Bibliographic Info

Article provided by SIE - Societa' Italiana degli Economisti (I) in its journal Rivista Italiana degli Economisti.

Volume (Year): 11 (2006)
Issue (Month): 1 (April)
Pages: 87-118

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Handle: RePEc:rie:review:v:11:y:2006:i:1:n:4

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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, Institute for New Economic Thinking (INET) 11, Institute for New Economic Thinking (INET).
  2. Dosi, Giovanni & Fagiolo, Giorgio & Roventini, Andrea, 2010. "Schumpeter meeting Keynes: A policy-friendly model of endogenous growth and business cycles," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 34(9), pages 1748-1767, September.
  3. Giovanni Dosi & Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini & Tania Treibich, 2014. "Fiscal and Monetary Policies in Complex Evolving Economies," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy 2014/07, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  4. Giovanni Dosi & Giorgio Fagiolo & Andrea Roventini, 2006. "An Evolutionary Model of Endogenous Business Cycles," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 27(1), pages 3-34, February.

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