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Business Cycles in Emerging market Economies: A New View of the Stylised Facts

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Author Info
Stan du Plessis () (Department of Economics, Stellenbosch University)

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Abstract

This paper builds on an earlier work in business cycle theory - explicitly in the classical cycle tradition of Burns and Mitchell (1946) and the more recent work by Harding and Pagan (e.g.: 2002a; 2005b; 2005a) - to identify and analyse business cycles in emerging market economies. The goal is to revisit the work of for example Agénor, McDermott and Prasad (2000), whom have established a set of stylised facts for business cycle fluctuations in developing countries. Agénor, et. al. (2000) established these stylised facts using the presently standard method of analysing the features of serially correlated deviations from trends (idenified with statistical techniques such as the Hodrick-Prescott filter) in certain macroeconomic time series, including real GDP, the price level, and components of final demand. The alternative method, implemented in this paper, uses an algorithm of Bry and Boschan (1971), and the recent work of Harding and Pagan to identify the various stylised facts regarding the duration, steepness, amplitude and concordance of these fluctuations in emerging market economies.

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Paper provided by Stellenbosch University, Department of Economics in its series Working Papers with number 02/2006.

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Date of creation: 2006
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Handle: RePEc:sza:wpaper:wpapers16

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Related research
Keywords: business cycles; turning points; emerging market economies; quantitative analysis of business cycles; time series econometrics; regression with binary variables;

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Find related papers by JEL classification:
C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models
C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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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.:
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  2. Antonio Fatás & Ilian Mihov, 2003. "The Case For Restricting Fiscal Policy Discretion," The Quarterly Journal of Economics, MIT Press, vol. 118(4), pages 1419-1447, November. [Downloadable!] (restricted)
    Other versions:
  3. Harding, Don & Pagan, Adrian, 2003. "Rejoinder to James Hamilton," Journal of Economic Dynamics and Control, Elsevier, vol. 27(9), pages 1695-1698, July. [Downloadable!] (restricted)
  4. Mankiw, N Gregory, 2001. "The Inexorable and Mysterious Tradeoff between Inflation and Unemployment," Economic Journal, Royal Economic Society, vol. 111(471), pages C45-61, May. [Downloadable!] (restricted)
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  5. Christina D. Romer & David H. Romer, 1994. "What Ends Recessions?," NBER Working Papers 4765, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    • Christina D. Romer & David H. Romer, 1994. "What Ends Recessions?," NBER Chapters, in: NBER Macroeconomics Annual 1994, Volume 9, pages 13-80 National Bureau of Economic Research, Inc. [Downloadable!]
  6. Harding, Don & Pagan, Adrian, 2006. "Synchronization of cycles," Journal of Econometrics, Elsevier, vol. 132(1), pages 59-79, May. [Downloadable!] (restricted)
  7. Aleš Bulir & A. Javier Hamann, 2001. "How Volatile and Unpredictable Are Aid Flows, and What Are the Policy Implications?," IMF Working Papers 01/167, International Monetary Fund.
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  8. Harding, Don & Pagan, Adrian, 2001. "Extracting, Using and Analysing Cyclical Information," MPRA Paper 15, University Library of Munich, Germany. [Downloadable!]
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  10. Christina D. Romer, 1999. "Changes in Business Cycles: Evidence and Explanations," NBER Working Papers 6948, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  11. Adrian Pagan & Don Harding, 2005. "A suggested framework for classifying the modes of cycle research," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 151-159. [Downloadable!]
  12. Pallage, Stephane & Robe, Michel A, 2001. "Foreign Aid and the Business Cycle," Review of International Economics, Blackwell Publishing, vol. 9(4), pages 641-72, November. [Downloadable!] (restricted)
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  13. Eswar Prasad & Pierre-Richard Agénor & C. John McDermott, 1999. "Macroeconomic Fluctuations in Developing Countries - Some Stylized Facts," IMF Working Papers 99/35, International Monetary Fund.
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  14. Harding, Don & Pagan, Adrian, 2002. "Dissecting the cycle: a methodological investigation," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 365-381, March. [Downloadable!] (restricted)
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  15. Harding, Don & Pagan, Adrian, 2003. "A comparison of two business cycle dating methods," Journal of Economic Dynamics and Control, Elsevier, vol. 27(9), pages 1681-1690, July. [Downloadable!] (restricted)
  16. C. John McDermott & Alasdair Scott, 2000. "Concordance in Business Cycles," IMF Working Papers 00/37, International Monetary Fund.
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  17. M. Ayhan Kose & Eswar Prasad & Marco Terrones, 2003. "Volatility and Comovement in a Globalized World Economy: An Empirical Exploration," IMF Working Papers 03/246, International Monetary Fund. [Downloadable!]
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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. Willem Boshoff, 2005. "The properties of cycles in South African financial variables and their relation to the business cycle," Working Papers 02/2005, Stellenbosch University, Department of Economics. [Downloadable!]
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