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Similarities and convergence in G-7 cycles

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Author Info
Fabio Canova () (Universitat Pompeu Fabra, Department of Economics and Business, Jaume I building, Ramon Trias Fargas, 25-27 E-08005-Barcelona, Spain)
Matteo Ciccarelli () (European Central Bank, Kaiserstr. 29, D-60311 Frankfurt am Main, Germany)
Eva Ortega () (Research Department, Bank of Canada, 234 Wellington, Ottawa, ON K1A 0G9, Canada.)

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Abstract

This paper examines the properties of G-7 cycles using a multicountry Bayesian panel VAR model with time variations, unit specific dynamics and cross country interdependences. We demonstrate the presence of a significant world cycle and show that country specific indicators play a much smaller role. We detect differences across business cycle phases but, apart from an increase in synchronicity in the late 1990s, find little evidence of major structural changes. We also find no evidence of the existence of an Euro area specific cycle or of its emergence in the 1990s..

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Publisher Info
Paper provided by European Central Bank in its series Working Paper Series with number 312.

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Length: 45 pages
Date of creation: Feb 2004
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Handle: RePEc:ecb:ecbwps:20040312

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Related research
Keywords: Business cycle; Indicators; Panel Data; Bayesian methods;

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Find related papers by JEL classification:
C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis
C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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References listed on IDEAS
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  20. Bartosz Mackowiak, 2006. "External Shocks, U.S. Monetary Policy and Macroeconomic Fluctuations in Emerging Markets," SFB 649 Discussion Papers SFB649DP2006-026, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
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  21. Artis, Michael J & Marcellino, Massimiliano & Proietti, Tommaso, 2003. "Dating the Euro Area Business Cycle," CEPR Discussion Papers 3696, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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