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Half a century of empirical evidence of business cycles in OECD countries

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  • Konstantakopoulou, Ioanna
  • Tsionas, Efthymios G.

Abstract

This paper presents evidence regarding the existence of common business cycles in OECD countries. More specifically, the paper examines the extent to which these cycles relate to each other over time. Business cycle components of output are extracted by adopting the Hodrick–Prescott, Baxter–King and the Christiano–Fitzgerald filters. The degree of business cycle co-movements is determined by evaluating the cross-correlation of the cyclical components of output in selected countries. We also implement the bound-testing approach proposed by Pesaran, Shin and Smith (2001) to investigate the long-run and short-run relations among the business cycle components of output. The study covers the period from 1960 to 2010. The empirical results suggest that there are two distinct cycles in the OECD countries: the Euro-area cycle, which includes the business cycles of Germany, France, Italy, Netherlands, Austria and Belgium, and the world cycle, which consists of the business cycles of the United States, Canada and the United Kingdom.

Suggested Citation

  • Konstantakopoulou, Ioanna & Tsionas, Efthymios G., 2014. "Half a century of empirical evidence of business cycles in OECD countries," Journal of Policy Modeling, Elsevier, vol. 36(2), pages 389-409.
  • Handle: RePEc:eee:jpolmo:v:36:y:2014:i:2:p:389-409
    DOI: 10.1016/j.jpolmod.2014.01.006
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    More about this item

    Keywords

    Business cycles; OECD countries; Business cycle comovements;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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