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Measuring World Business Cycles

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Listed:
  • Gregory, Allan W
  • Head, Allen C
  • Raynauld, Jacques

Abstract

Using Kalman filtering and dynamic factor analysis, the authors decompose aggregate output, consumption, and investment for the G7 countries into factors that are (1) common across all countries and aggregates, (2) common across aggregates within a country, and (3) specific to each individual aggregate. In quarterly data for the period 1970 through 1993, fluctuations in all aggregates contain world and country-specific common components that are both statistically significant and quantitatively important. The authors find that the world and country-specific common components play different roles in different business cycle episodes for each of the seven countries and that either may be dominant during a particular episode. Copyright 1997 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

Suggested Citation

  • Gregory, Allan W & Head, Allen C & Raynauld, Jacques, 1997. "Measuring World Business Cycles," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 677-701, August.
  • Handle: RePEc:ier:iecrev:v:38:y:1997:i:3:p:677-701
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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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