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Cyclical Properties in the Main Western Economies

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Author Info
P J Pérez

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Abstract

This paper analyses the cyclical properties in the main western economies (G-7 countries, Spain and Switzerland). Using the contemporary or maximum cross-correlation with the GDP could mask or find similarities among countries when they do not exist, we focus on the structure of a wide set of cross-correlations. The results show a great similarity in the cyclical behaviour of the variables, showing common business cycle phenomena among the analysed countries. The highest differences were found in the behaviour of the monetary variables and in the real wage, what seems to indicate a different role of the monetary policy and differences in the national labour markets. Additionally, we use three alternative filter methods (HP, BK and First Difference), and in contrast to the work of Canova (1998), the results do not change, at least qualitatively, with the filter method. Moreover, we study the temporal stability of the cyclical facts. This analysis shows that in general the relationship of the different variables with the GDP cycle is fundamentally stable over time, while volatilities are not so stable, indicating that the same economic mechanisms are present in periods of high and low volatility.

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File URL: http://www.socialsciences.manchester.ac.uk/cgbcr/dpcgbcr/dpcgbcr33.pdf
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Publisher Info
Paper provided by Economics, The Univeristy of Manchester in its series Centre for Growth and Business Cycle Research Discussion Paper Series with number 33.

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Length: 72 pages
Date of creation: 2001
Date of revision:
Handle: RePEc:man:cgbcrp:33

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Related research
Keywords: Cyclical Stylised Facts; Correlation Structure; Alternative Filter Method; Temporal Stability;

References listed on IDEAS
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  1. David K. Backus & Patrick J. Kehoe & Finn E. Kydland, 1993. "International Business Cycles: Theory and Evidence," Working Papers 93-21, New York University, Leonard N. Stern School of Business, Department of Economics.
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  2. Danthine, Jean-Pierre & Girardin, Michel, 1989. "Business cycles in Switzerland : A comparative study," European Economic Review, Elsevier, vol. 33(1), pages 31-50, January. [Downloadable!] (restricted)
  3. Robert G. King & Charles I. Plosser & James H. Stock & Mark W. Watson, 1991. "Stochastic trends and economic fluctuations," Working Paper Series, Macroeconomic Issues 91-4, Federal Reserve Bank of Chicago.
    Other versions:
  4. Christodoulakis, Nicos & Dimelis, Sophia P & Kollintzas, Tryphon, 1995. "Comparisons of Business Cycles in the EC: Idiosyncracies and Regularities," Economica, London School of Economics and Political Science, vol. 62(245), pages 1-27, February. [Downloadable!] (restricted)
  5. David K. Backus & Patrick J. Kehoe, 1992. "International Evidence on the Historical Properties of Business Cycles," Working Papers 92-5, New York University, Leonard N. Stern School of Business, Department of Economics.
    Other versions:
  6. Canova, Fabio, 1998. "Detrending and business cycle facts," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 475-512, May. [Downloadable!] (restricted)
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  7. Dimelis, Sophia P, 1997. "Cyclical and Causal Relations between Real Wages and Employment in the EU," Applied Economics, Taylor and Francis Journals, vol. 29(3), pages 311-24, March. [Downloadable!] (restricted)
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  9. Finn E. Kydland & Edward C. Prescott, 1990. "Business cycles: real facts and a monetary myth," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Spr, pages 3-18. [Downloadable!]
  10. Juan J. Dolado & Miguel Sebastián & Javier Vallés, 1993. "Cyclical Patterns of the Spanish Economy," Banco de España Working Papers 9324, Banco de España.
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  11. Burnside, Craig, 1998. "Detrending and business cycle facts: A comment," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 513-532, May. [Downloadable!] (restricted)
  12. Nickell, Stephen J & Symons, James, 1990. "The Real Wage-Employment Relationship in the United States," Journal of Labor Economics, University of Chicago Press, vol. 8(1), pages 1-15, January. [Downloadable!] (restricted)
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  15. Artis, Michael J & Zhang, Wenda, 1995. "International Business Cycles and the ERM: Is there a European Business Cycle?," CEPR Discussion Papers 1191, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  16. Fiorito, Riccardo & Kollintzas, Tryphon, 1994. "Stylized facts of business cycles in the G7 from a real business cycles perspective," European Economic Review, Elsevier, vol. 38(2), pages 235-269, February. [Downloadable!] (restricted)
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  17. S. Rao Aiyagari & Lawrence J. Christiano & Martin Eichenbaum, 1990. "The output, employment, and interest rate effects of government consumption," Working Paper Series, Macroeconomic Issues 90-10, Federal Reserve Bank of Chicago.
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  18. Blackburn, Keith & Ravn, Morten O, 1992. "Business Cycles in the United Kingdom: Facts and Fictions," Economica, London School of Economics and Political Science, vol. 59(236), pages 383-401, November. [Downloadable!] (restricted)
  19. Cooley, T.F. & Ohanian, L.E., 1989. "The Cyclical Behavior Of Prices," RCER Working Papers 188, University of Rochester - Center for Economic Research (RCER).
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  20. Canova, Fabio, 1998. "Detrending and business cycle facts: A user's guide," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 533-540, May. [Downloadable!] (restricted)
  21. Lucas, Robert E., 1977. "Understanding business cycles," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 5(1), pages 7-29, January. [Downloadable!] (restricted)
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  23. Timothy Cogley, 1997. "Evaluating non-structural measures of the business cycle," Economic Review, Federal Reserve Bank of San Francisco, pages 3-21. [Downloadable!]
  24. Peter Brandner & Klaus Neusser, 1992. "Business cycles in open economies: Stylized facts for Austria and Germany," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 128(1), pages 67-87, March. [Downloadable!] (restricted)
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  25. Juan J. Dolado & Miguel Sebastián & Javier Vallés, 1993. "Cyclical Patterns of the Spanish Economy," Banco de España Working Papers 9324, Banco de España.
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  27. John Hassler & Petter Lundvik & Torsten Persson & Paul Soderlind, 1992. "The Swedish business cycle: stylized facts over 130 years," Discussion Paper / Institute for Empirical Macroeconomics 63, Federal Reserve Bank of Minneapolis. [Downloadable!]
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