International Business Cycles: Regime Shifts in the Stochastic Process of Economic Growth
AbstractThis paper analyzes regime shifts in the stochastic process of economic growth of six major OECD countries over three decades. For the statistical measurement of the underlying global business cycle, we generalize Hamilton's model of the US business cycle to a Markov-switching vector auto-regressive time series model. Applying the model to six series of quarterly GNP growth rates, the paper provides empirical evidence for the dominance of common shocks as the source of international business cycles. For all countries, business cycles can be identified as regime shifts in the mean growth rate occuring mainly simultaneously across countries.
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Bibliographic InfoPaper provided by University of Oxford, Department of Economics in its series Economics Series Working Papers with number 99194.
Length: 31 pages
Date of creation: 1997
Date of revision:
BUSINESS CYCLES ; ECONOMIC GROWTH;
Find related papers by JEL classification:
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- O4 - Economic Development, Technological Change, and Growth - - Economic Growth and Aggregate Productivity
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