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International Business Cycles and Long - Run Growth : An analysis with Markov-Switching and Cointegration Methods

Author

Listed:
  • Juergen KÄHLER

    (ZEW & Universität Mannheim)

  • Volker MARNET

    (ZEW, Mannheim)

Abstract

In this article, we concern ourselves with the modelling of macroe- conomic time series within the unit-roots framework. We apply two approaches which seem to be well suited to model business cycles and long-run growth phenomena. First, we apply the Markov-switching model which is built around the idea that a variable may be asso- ciated with different regimes. We extend this approach to allow for asymmetries in business cycles and find that with this modification the model identifies regimes which cannot be associated with notions of the business cycle. Second, in a cointegration analysis we examine common stochastic trends and international transmission of macroeco- nomic shocks. The results show that transient shocks do not vanish, but have long persistent effects. Furthermore, we supplement the coin- tegration approach with an impulse response analysis and find that there exists a transmission of shocks between countries which indi- cates great international dependencies in economic activity

Suggested Citation

  • Juergen KÄHLER & Volker MARNET, 1992. "International Business Cycles and Long - Run Growth : An analysis with Markov-Switching and Cointegration Methods," Discussion Papers (REL - Recherches Economiques de Louvain) 1992042, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    • Handle: RePEc:ctl:louvre:1992042
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    Cited by:

    1. Pablo Mejía-Reyes, 2000. "Asymmetries and Common Cycles in Latin America: Evidence from Markov-Switching Models," Economía Mexicana NUEVA ÉPOCA, CIDE, División de Economía, vol. 0(2), pages 189-225, July-Dece.
    2. Medhioub, Imed, 2007. "Asymétrie des cycles économiques et changement de régimes : cas de la Tunisie," L'Actualité Economique, Société Canadienne de Science Economique, vol. 83(4), pages 529-553, décembre.
    3. Mejia-Reyes, P., 2004. "Classical Business Cycles in America: Are National Business Cycles Synchronised?," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 1(3), pages 75-102.
    4. Pablo Mejía-Reyes, 1999. "Classical business cycles in Latin America: Turning points, asimmetries and international synchronisation," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 14(2), pages 265-297.
    5. Lucie Plzáková & Egon Smeral, 2022. "Impact of the COVID-19 crisis on European tourism," Tourism Economics, , vol. 28(1), pages 91-109, February.

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