Disaggregating the international business cycle
AbstractThis paper investigates the international business cycle with new sector level data on hours and output for Canada, Germany, France, Italy, the United Kingdom and the United States from 1992 Q1 to 2011 Q3. We estimate a Bayesian dynamic common factor model on this disaggregate data to decompose the quarterly growth rates of output, hours worked and labour productivity into contributions from global, country, sector and idiosyncratic factors. During the ‘Great Recession’ our results suggest that the global factor became the most important determinant of output, hours and labour productivity growth. Before the ‘Great Recession’, on the other hand, the global factor was not very important; country and idiosyncratic factors were the dominant influences on output, hours and productivity; sector factors never matter very much.
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Bibliographic InfoPaper provided by Monetary Policy Committee Unit, Bank of England in its series Discussion Papers with number 37.
Length: 40 pages
Date of creation: 17 Aug 2012
Date of revision:
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More information through EDIRC
Labour productivity; international business cycles; dynamic common factor model;
Find related papers by JEL classification:
- F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-09-09 (All new papers)
- NEP-BEC-2012-09-09 (Business Economics)
- NEP-HIS-2012-09-09 (Business, Economic & Financial History)
- NEP-OPM-2012-09-09 (Open Economy Macroeconomic)
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.:
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