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Co-movement of Australian State Business Cycles

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Author Info
Thomas Walker
David Norman
Abstract

We use a variety of techniques to examine the nature and degree of co-movement among Australian state business cycles. Our results indicate that these cycles move closely together, with particularly strong links between the cycles of the larger states. This finding is robust to a range of statistical measures. We also use an unobserved components model in an attempt to distinguish the sources of this comovement. While our results must be interpreted with caution given the limited amount of data available, they suggest that the major source of cyclical fluctuation in state activity is shocks that are common to all states. Region-specific shocks appear to have a moderate influence on cyclical fluctuations, while spillovers of such shocks from one state to another seem to play only a minor role. These findings are consistent with the results of recent studies for the United States, Canada and Europe, where common shocks have also been found to dominate regional cyclical activity

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Paper provided by Econometric Society in its series Econometric Society 2004 Australasian Meetings with number 334.

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Date of creation: 11 Aug 2004
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Handle: RePEc:ecm:ausm04:334

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Related research
Keywords: business cycles; concordance; unobserved components;

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
R11 - Urban, Rural, and Regional Economics - - General Regional Economics - - - Analysis of Growth, Development, and Changes

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