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US, Japan and the euro area: comparing business-cycle features

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  • McAdam, Peter

Abstract

There has been much discussion of the differences in macroeconomic performance and prospects between the US, Japan and the euro area. Using Markov-switching techniques, in this paper we identify and compare specifically their major business-cycle features and examine the case for a common business cycle, asymmetries in the national cycles and, using a number of algorithms, date business-cycle turning points. Despite a high degree of trade and financial linkages, the cyclical features of US, Japan and the euro area appear quite distinct. Documenting and comparing such international business-cycle features can aid forecasting, model selection and policy analysis etc. JEL Classification: C32, F20

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Paper provided by European Central Bank in its series Working Paper Series with number 0283.

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Date of creation: Nov 2003
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Handle: RePEc:ecb:ecbwps:20030283

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Keywords: business-cycle; euro area; Japan; US;

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Cited by:
  1. Märten Kress, 2004. "Lending cycles in Estonia," Bank of Estonia Working Papers 2004-3, Bank of Estonia, revised 10 Oct 2004.
  2. Mitra, Sinchan & Sinclair, Tara M., 2012. "Output Fluctuations In The G-7: An Unobserved Components Approach," Macroeconomic Dynamics, Cambridge University Press, vol. 16(03), pages 396-422, June.
  3. Afanasyeva, Elena, 2013. "Atypical behavior of credit: Evidence from a monetary VAR," IMFS Working Paper Series 70, Institute for Monetary and Financial Stability (IMFS), Goethe University Frankfurt.
  4. Andreas Humpe & Peter D. Macmillan, 2005. "Can macroeconomic variables explain long term stock market movements? A comparison of the US and Japan," CRIEFF Discussion Papers 0511, Centre for Research into Industry, Enterprise, Finance and the Firm.
  5. Monica Billio & Massimiliano Caporin & Guido Cazzavillan, 2007. "Dating EU15 monthly business cycle jointly using GDP and IPI," Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, vol. 2007(3), pages 333-366.
  6. Andreas Humpe & Peter Macmillan, 2007. "Can macroeconomic variables explain long term stock market movements? A comparison of the US and Japan," CDMA Working Paper Series 200720, Centre for Dynamic Macroeconomic Analysis.
  7. Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Turning point chronology for the Euro-Zone: A Distance Plot Approach," Documents de travail du Centre d'Economie de la Sorbonne 13025, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  8. Christian Richter & Andrew Hughes Hallett, 2005. "A Time-Frequency Analysis of the Coherences of the US Business," Computing in Economics and Finance 2005 45, Society for Computational Economics.
  9. Kajal Lahiri & Gultekin Isiklar, 2010. "Estimating International Transmission of Shocks Using GDP Forecasts: India and Its Trading Partners," Discussion Papers 10-06, University at Albany, SUNY, Department of Economics.
  10. Andrew Hallett & Christian Richter, 2006. "Measuring the Degree of Convergence among European Business Cycles," Computational Economics, Society for Computational Economics, vol. 27(2), pages 229-259, May.

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