Modern business cycle theory involves developing models that explain stylized facts. For this strategy to be successful, these facts should be well established. In this paper, we focus on the stylized facts of international business cycles. We use the generalized method of moments and quarterly data from nineteen industrialized countries to estimate pairwise cross-country and within-country correlations of macroeconomic aggregates. We calculate standard errors of the statistics for our unique panel of data and test hypotheses about the relative sizes of these correlations. We find a lower cross-country correlation of all aggregates and especially of consumption than in previous studies. The cross-country correlations of consumption, output and Solow residuals are not significantly different from one another over the whole sample, but there are significant differences in the post-1973 subsample.
La théorie moderne du cycle passe par le développement de modèles qui expliquent des faits stylisés. Pour que cette stratégie puisse réussir, ces faits doivent être bien établis. Dans ce papier, nous nous concentrons sur les faits stylisés relatifs aux cycles internationaux. Nous utilisons la méthode des moments généralisés sur des données trimestrielles de 19 pays pour estimer des corrélations entre pays et entre agrégats macroéconomiques. Nous calculons des écarts-types pour les statistiques pour cette unique banque de données et testons des hypothèses concernant les tailles relatives des corrélations. Nous trouvons des corrélations entre pays plus faibles que rapportées précédemment, en particulier pour la consommation. Les corrélations croisées de la consommation, du PIB et des résidus de Solow ne sont pas significativement différentes entre elles sur l'ensemble de l'échantillon, mais il y a des différences significatives dans un sous-échantillon débutant en 1973.
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Find related papers by JEL classification: E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
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