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Globalization, the Business Cycle, and Macroeconomic Monitoring

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  • S. Boragan Aruoba
  • Francis X. Diebold
  • M. Ayhan Kose
  • Marco E. Terrones

Abstract

We propose and implement a framework for characterizing and monitoring the global business cycle. Our framework utilizes high-frequency data, allows us to account for a potentially large amount of missing observations, and is designed to facilitate the updating of global activity estimates as data are released and revisions become available. We apply the framework to the G-7 countries and study various aspects of national and global business cycles, obtaining three main results. First, our measure of the global business cycle, the common G-7 real activity factor, explains a significant amount of cross-country variation and tracks the major global cyclical events of the past forty years. Second, the common G-7 factor and the idiosyncratic country factors play different roles at different times in shaping national economic activity. Finally, the degree of G-7 business cycle synchronization among country factors has changed over time.

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Bibliographic Info

Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 16264.

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Date of creation: Aug 2010
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Publication status: published as S. Borağan Aruoba, Francis X. Diebold, M. Ayhan Kose, Marco E. Terrones. "Globalization, the Business Cycle, and Macroeconomic Monitoring," in Richard Clarida and Francesco Giavazzi, organizers, "NBER International Seminar on Macroeconomics 2010" University of Chicago Press (2011)
Handle: RePEc:nbr:nberwo:16264

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  1. Sorensen, Bent E & Yosha, Oved, 1999. "Risk Sharing and Industrial Specialization: Regional and International Evidence," CEPR Discussion Papers 2295, C.E.P.R. Discussion Papers.
  2. Imbs, Jean, 2010. "The First Global Recession in Decades," CEPR Discussion Papers 7973, C.E.P.R. Discussion Papers.
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Cited by:
  1. David Matesanz Gomez & Guillermo J Ortega & Benno Torgler, 2012. "Synchronization and Diversity in Business Cycles: A Network Approach Applied to the European Union," School of Economics and Finance Discussion Papers and Working Papers Series 277, School of Economics and Finance, Queensland University of Technology.
  2. Francis X. Diebold & Kamil Yilmaz, 2013. "Measuring the Dynamics of Global Business Cycle Connectedness," PIER Working Paper Archive 13-070, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  3. S. Boragan Aruoba & Cagri Sarikaya, 2013. "A Real Economic Activity Indicator for Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 13(1), pages 15-29.

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