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Do national business cycles have an international origin?

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  • Joffrey Malek Mansour
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    Abstract

    This paper analyses a set of output data for 113 countries and identifies common sources of fluctuations, to estimate a world business cycle. We also analyze the multiplier effects of worldwide or global shocks and their implications for the persistence and amplitude of cyclical fluctuations. We find that a higher relative importance of global shocks leads to lower persistence and greater volatility. Finally, we compare some regional integration agreements and find that the EC emerges as the most integrated block. The analytical framework used is that of Forni, Hallin, Lippi and Reichlin (1999). Copyright Springer-Verlag Berlin Heidelberg 2003

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    File URL: http://hdl.handle.net/10.1007/s001810200128
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    Bibliographic Info

    Article provided by Springer in its journal Empirical Economics.

    Volume (Year): 28 (2003)
    Issue (Month): 2 (04)
    Pages: 223-247

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    Handle: RePEc:spr:empeco:v:28:y:2003:i:2:p:223-247

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    Related research

    Keywords: Key words: business cycles; dynamic factor analysis; economic integration; principal components; JEL classification numbers: C23; E32; F02;

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    Cited by:
    1. Eickmeier, Sandra, 2005. "Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model," Discussion Paper Series 1: Economic Studies 2005,02, Deutsche Bundesbank, Research Centre.
    2. Moneta, Fabio & Rüffer, Rasmus, 2006. "Business cycle synchronisation in East Asia," Working Paper Series 0671, European Central Bank.
    3. Michael Graff, 2005. "Internationale Konjunkturverbunde," KOF Working papers 05-108, KOF Swiss Economic Institute, ETH Zurich.
    4. Sybille Lehwald, 2013. "Has the Euro changed business cycle synchronization? Evidence from the core and the periphery," Empirica, Springer, vol. 40(4), pages 655-684, November.
    5. Camacho, Maximo & Pérez-Quirós, Gabriel & Sáiz Matute, Lorena, 2005. "Are European Business Cycles Close Enough to be Just One?," CEPR Discussion Papers 4824, C.E.P.R. Discussion Papers.
    6. Eickmeier, Sandra, 2006. "Comovements and heterogeneity in the Comovements and heterogeneity in the dynamic factor model," Discussion Paper Series 1: Economic Studies 2006,31, Deutsche Bundesbank, Research Centre.
    7. Bovi, M., 2005. "Economic Clubs and European Commitment. Evidence from the International Business Cycles," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(2), pages 101-122.
    8. Ana Buisán & Fernando Restoy, 2005. "Cross country macroeconomic heterogeneity in EMU," Banco de Espa�a Occasional Papers 0504, Banco de Espa�a.
    9. Bergman, Michael, 2004. "How Similar Are European Business Cycles?," Working Papers 2004:9, Lund University, Department of Economics.

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