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Output Dynamics of the G7 Countries - Stochastic Trends and Cyclical Movements

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Author Info
Cheung, Yin-Wong
Westermann, Frank

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Abstract

Using a time series framework, the paper studies the interac tions of the annual real per capita GDP data of the G7 countries. We find evidence of six common nonstationary processes behind the international output dynamics. In addition, there is evidence for the existence of a common business cycle among these coun t ries. The trend and cycle components of each output series are obtained with a procedure that accounts for the presence of both the common nonstationary and cyclical factors. It is found that the relative variability and the correlation of the trend and cycle components are not similar across the G7 countries.

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Paper provided by CESifo Group Munich in its series CESifo Working Paper Series with number CESifo Working Paper No. 220.

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Date of creation: 1999
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Handle: RePEc:ces:ceswps:_220

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Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
O49 - Economic Development, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - Other

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  5. Vahid, F & Engle, Robert F, 1993. "Common Trends and Common Cycles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(4), pages 341-60, Oct.-Dec.. [Downloadable!] (restricted)
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  6. Lucke, Bernd, 1998. "Productivity shocks in a sectoral real business cycle model for West Germany," European Economic Review, Elsevier, vol. 42(2), pages 311-327, February. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Nannette Lindenberg & Frank Westermann, 2009. "Common Trends and Common Cycles among Interest Rates of the G7-Countries," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
  2. Centoni, Marco & Cubadda, Gianluca & Hecq, Alain, 2006. "Measuring the Sources of Cyclical Fluctuations in the G7 Economies," Economics & Statistics Discussion Papers esdp06028, University of Molise, Dept. SEGeS. [Downloadable!]
  3. Yin-Wong Cheung, 2002. "Hong Kong Output Dynamics: An Empirical Analysis," Macroeconomics Working Papers 175, East Asian Bureau of Economic Research. [Downloadable!]
  4. Yin-Wong Cheung, 2001. "Hong Kong Output Dynamics: An Empirical Analysis," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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  5. Tsangyao Chang & Hsu-Ling Chang & Hsiao-Ping Chu & Chi-Wei Su, 2006. "Is per capita real GDP stationary in African countries? Evidence from panel SURADF test," Applied Economics Letters, Taylor and Francis Journals, vol. 13(15), pages 1003-1008, December. [Downloadable!] (restricted)
  6. Altissimo, Filippo & Bassanetti, Antonio & Cristadoro, Riccardo & Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia & Veronese, Giovanni, 2001. "EuroCOIN: A Real Time Coincident Indicator of the Euro Area Business Cycle," CEPR Discussion Papers 3108, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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