This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

A Time-Frequency Analysis of the Coherences of the US Business

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Christian Richter
Andrew Hughes Hallett () (Economics Loughborough University)

Additional information is available for the following registered author(s):

Abstract

The dating of a possible European business cycle has been inconclusive. At this stage, there is no consensus on the existence of such a cycle, or of its periodicity and amplitude, or of the relationship of individual member countries to that cycle. Yet cyclical convergence is the key consideration for countries that wish to be members of the currency union. The confusion over whether and to what degree the UK is converging on the cycles of her European partners, or whether her cycle is more in line with the US, is an example of this lack of consensus. We show that countries will vary in the components and characteristics that make up their output cycles, as well as in the state of their cycle at any point of time. Next, we show how to decompose a business cycle in a time-frequency framework. This allows us to decompose movements in output, both at the European level and in member countries, into their component cycles and allows those component cycles to vary in importance and cyclical characteristics over time. It also allows us to determine if the inconclusive convergence results so far have appeared because member countries have some cycles in common, but diverge at other frequencies

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://repec.org/sce2005/up.1901.1105292722.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2005 with number 45.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: 11 Nov 2005
Date of revision:
Handle: RePEc:sce:scecf5:45

Contact details of provider:
Email:
Web page: http://comp-econ.org/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords: Time-Frequency Analysis; Coherence; Growth Rates; Business Cycle;

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C29 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Other
C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other

This paper has been announced in the following NEP Reports:

References listed on IDEAS
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.:
  1. Romer, Paul M, 1986. "Increasing Returns and Long-run Growth," Journal of Political Economy, University of Chicago Press, vol. 94(5), pages 1002-37, October. [Downloadable!] (restricted)
  2. Ferdinand Fichtner, 2003. "Germany and the European Business Cycle - An Analysis of Causal Relations in an International Real Business Cycle Model," IWP Discussion Paper Series 01/2003, Institute for Economic Policy, Cologne, Germany. [Downloadable!]
  3. Andrew B. Bernard & Steven N. Durlauf, 1991. "Convergence of International Output Movements," NBER Working Papers 3717, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. James H. Stock & Mark W. Watson, 2002. "Has the Business Cycle Changed and Why?," NBER Working Papers 9127, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  5. Eswar Prasad, 1999. "International Trade and the Business Cycle," IMF Working Papers 99/56, International Monetary Fund.
    Other versions:
  6. Quah, Danny, 1993. "Galton's Fallacy and Tests of the Convergence Hypothesis," CEPR Discussion Papers 820, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  7. Peter McAdam, 2003. "US, Japan and the euro area - comparing business-cycle features," Working Paper Series 283, European Central Bank. [Downloadable!]
    Other versions:
  8. Levy, Daniel & Dezhbakhsh, Hashem, 2003. "International evidence on output fluctuation and shock persistence," Journal of Monetary Economics, Elsevier, vol. 50(7), pages 1499-1530, October. [Downloadable!] (restricted)
    Other versions:
  9. Sala-i-Martin, Xavier X., 1996. "Regional cohesion: Evidence and theories of regional growth and convergence," European Economic Review, Elsevier, vol. 40(6), pages 1325-1352, June. [Downloadable!] (restricted)
    Other versions:
  10. Gerdtham, U-G & Lothgren, M, 2002. "New Panel Results on Cointegration of International Health Expenditures and GDP," Applied Economics, Taylor and Francis Journals, vol. 34(13), pages 1679-86, September. [Downloadable!] (restricted)
  11. W A Razzak, 1998. "Business cycle asymmetries and the nominal exchange rate regimes," Reserve Bank of New Zealand Discussion Paper Series G98/4, Reserve Bank of New Zealand. [Downloadable!]
  12. Perron, P., 1987. "The Great Crash, the Oil Prices and the Unit Root Hypothesis," Cahiers de recherche 8749, Universite de Montreal, Departement de sciences economiques.
  13. Tamim Bayoumi & Barry Eichengreen, 1992. "Shocking Aspects of European Monetary Unification," NBER Working Papers 3949, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  14. Robert J. Barro, 1991. "Economic Growth in a Cross Section of Countries," NBER Working Papers 3120, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  15. Chauvet, Marcelle & Potter, Simon, 2001. "Recent Changes in the US Business Cycle," Manchester School, University of Manchester, vol. 69(5), pages 481-508, Special I. [Downloadable!] (restricted)
    Other versions:
  16. Mankiw, N Gregory & Romer, David & Weil, David N, 1992. "A Contribution to the Empirics of Economic Growth," The Quarterly Journal of Economics, MIT Press, vol. 107(2), pages 407-37, May. [Downloadable!] (restricted)
    Other versions:
  17. Prasad Bidarkota & Khurshid M. Kiani, 2003. "On Business Cycle Asymmetries in G7 Countries," Working Papers 0308, Florida International University, Department of Economics. [Downloadable!]
    Other versions:
  18. Wolff, Edward N, 1991. "Capital Formation and Productivity Convergence over the Long Term," American Economic Review, American Economic Association, vol. 81(3), pages 565-79, June. [Downloadable!] (restricted)
  19. Barro, R.J. & Sala-I-Martin, X., 1991. "Convergence," Papers 645, Yale - Economic Growth Center.
    Other versions:
  20. Hughes Hallett, A. & Piscitelli, Laura, 2002. "Does trade integration cause convergence?," Economics Letters, Elsevier, vol. 75(2), pages 165-170, April. [Downloadable!] (restricted)
  21. Olivier Blanchard & John Simon, 2001. "The Long and Large Decline in U.S. Output Volatility," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 32(2001-1), pages 135-174. [Downloadable!]
  22. Inklaar, Robert & Haan, Jakob de, 2000. "Is there Really a European Business Cycle?," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
  23. Evans, Paul & Karras, Georgios, 1996. "Convergence revisited," Journal of Monetary Economics, Elsevier, vol. 37(2-3), pages 249-265, April. [Downloadable!] (restricted)
  24. Rob Luginbuhl & Siem Jan Koopman, 2003. "Convergence in European GDP Series," Tinbergen Institute Discussion Papers 03-031/4, Tinbergen Institute. [Downloadable!]
  25. Luca Benati, . "Band-pass filtering, cointegration, and business cycle analysis," Bank of England working papers 142, Bank of England. [Downloadable!]
  26. Anna Maria Agresti & Benoit Mojon, 2001. "Some stylised facts on the Euro area business cycle," Working Paper Series 095, European Central Bank. [Downloadable!]
  27. Andrew Hughes Hallett & Christian R Richter, 2002. "Are Capital Markets Efficient? Evidence from the Term Structure of Interest Rates in Europe," Computing in Economics and Finance 2002 3, Society for Computational Economics.
    Other versions:
  28. Zenon Kontolemis G. & Hossein Samiei, . "The U.K. Business Cycle, Monetary Policy, and EMU Entry," IMF Working Papers 00/210, International Monetary Fund.
  29. Jeffrey A. Frankel & Andrew K. Rose, 1996. "The Endogeneity of the Optimum Currency Area Criteria," NBER Working Papers 5700, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
Full references

Cited by:
(explanations, 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.)

  1. Matthieu Lemoine, 2005. "A model of the stochastic convergence between business cycles," Documents de Travail de l'OFCE 2005-05, Observatoire Francais des Conjonctures Economiques (OFCE). [Downloadable!]
Statistics
Access and download statistics

Did you know? IDEAS also indexes software components.

This page was last updated on 2009-11-27.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.