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International Business Cycles: Regime Shifts in the Stochastic Process of Economic Growth

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  • Krozlig, H.M.
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    Abstract

    This 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 Info

    Paper provided by University of Oxford, Department of Economics in its series Economics Series Working Papers with number 99194.

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    Length: 31 pages
    Date of creation: 1997
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    Handle: RePEc:oxf:wpaper:99194

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    Web page: http://www.economics.ox.ac.uk/
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    Related research

    Keywords: BUSINESS CYCLES ; ECONOMIC GROWTH;

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    Cited by:
    1. Moritz Cruz, 2005. "The business cycle in a financially deregulated context: Theory and evidence," International Review of Applied Economics, Taylor & Francis Journals, vol. 19(3), pages 271-287.
    2. Alexis Cruz-Rodriguez, 2013. "Choosing and Assessing Exchange Rate Regimes: a Survey of the Literature," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines, vol. 28(2), pages 37-61, October.
    3. Igor Alexandre Clemente de Morais & Marcelo Savino Portugal, 2003. "Business Cycle in the Industrial Production of Brazilian States," Anais do XXXI Encontro Nacional de Economia [Proceedings of the 31th Brazilian Economics Meeting] e75, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
    4. Krolzig, H.-M. & Toro, J., 2001. "Classical And Modern Business Cycle Measurement: The European Case," Economics Series Working Papers 9960, University of Oxford, Department of Economics.

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