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Breaks in the variability and co-movement of G-7 economic growth

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Brian M. Doyle
Jon Faust

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Abstract

This paper investigates breaks in the variability and co-movement of output, consumption, and investment in the G-7 economies. In contrast with most other papers on co-movement, we test for changes in co-movement allowing for breaks in mean and variance. Despite claims that rising integration among these economies has increased output correlations among them, we find no clear evidence of an increase in correlation of growth rates of output, consumption, or investment. This finding is true even for the United States and Canada, which have seen a tremendous increase in bilateral trade shares, and for the members of the euro area in the G-7.

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Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number 786.

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Date of creation: 2003
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Handle: RePEc:fip:fedgif:786

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Keywords: Group of Seven countries Economic development

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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Bovi, M., 2005. "Economic Clubs and European Commitment. Evidence from the International Business Cycles," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(2), pages 101-122. [Downloadable!]
  2. James B. Bullard & Aarti Singh, 2007. "Worldwide macroeconomic stability and monetary policy rules," Working Papers 2006-040, Federal Reserve Bank of St. Louis. [Downloadable!]
  3. Jean Boivin & Marc Giannoni, 2008. "Global Forces and Monetary Policy Effectiveness," NBER Working Papers 13736, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. M. Ayhan Kose & Roberto Cardarelli, 2004. "Economic Integration, Business Cycle, and Productivity in North America," IMF Working Papers 04/138, International Monetary Fund. [Downloadable!]
  5. James H. Stock & Mark W. Watson, 2003. "Has the business cycle changed?," Proceedings, Federal Reserve Bank of Kansas City, pages 9-56. [Downloadable!]
  6. Imbs, Jean & Mauro, Paolo, 2007. "Pooling Risk Among Countries," CEPR Discussion Papers 6461, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  7. Bergman, Michael, 2004. "How Similar Are European Business Cycles?," Working Papers 2004:9, Lund University, Department of Economics. [Downloadable!]
  8. Ossama Mikhail, 2004. "No More Rocking Horses: Trading Business-Cycle Depth for Duration Using an Economy-Specific Characteristic," Macroeconomics 0402026, EconWPA. [Downloadable!]
  9. Fabio C. Bagliano & Claudio Morana, 2006. "International Macroeconomic Dynamics: A Factor Vector Autoregressive Approach," Carlo Alberto Notebooks 32, Collegio Carlo Alberto. [Downloadable!]
  10. M. Ayhan Kose & Christopher Otrok & Charles H. Whiteman, 2005. "Understanding the Evolution of World Business Cycles," IMF Working Papers 05/211, International Monetary Fund. [Downloadable!]
  11. Michael D. Bordo & Thomas Helbling, 2003. "Have National Business Cycles Become More Synchronized?," NBER Working Papers 10130, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  12. Maurizio Bovi, 2003. "Nonparametric Analysis Of The International Business Cycles," ISAE Working Papers 37, ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY). [Downloadable!]
  13. Stefano Schiavo, 2005. "Financial integration, GDP correlation and the endogeneity of optimum currency areas," Working Papers 25, Università di Verona, Dipartimento di Scienze economiche. [Downloadable!]
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  14. James H. Stock & Mark W. Watson, 2003. "Understanding Changes in International Business Cycle Dynamics," NBER Working Papers 9859, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  15. U. Michael Bergman, 2004. "How Similar Are European Business Cycles?," EPRU Working Paper Series 04-13, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics, revised Nov 2004. [Downloadable!]
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