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Measuring business cycles intra-synchronization in us: a regime-switching interdependence framework

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  • Danilo Leiva-Leon

    () (Banco de España)

Abstract

This paper proposes a Markov-switching framework to endogenously identify periods where economies are more likely to (i) synchronously enter recessionary and expansionary phases, and (ii) follow independent business cycles. The reliability of the framework is validated with simulated data in Monte Carlo experiments. The framework is applied to assess the timevarying intra-country synchronization in US. The main results report substantial changes over time in the cyclical affiliation patterns of US states, and show that the more similar the economic structures of states, the higher the correlation between their business cycles. A synchronization-based network analysis discloses a change in the propagation pattern of aggregate contractionary shocks across states, suggesting that the US has become more internally synchronized since the early 1990s.

Suggested Citation

  • Danilo Leiva-Leon, 2017. "Measuring business cycles intra-synchronization in us: a regime-switching interdependence framework," Working Papers 1726, Banco de España;Working Papers Homepage.
  • Handle: RePEc:bde:wpaper:1726
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    Cited by:

    1. Maximo Camacho & Fernando Soto, 2018. "Consumer confidence’s boom and bust in Latin America," Working Papers 18/02, BBVA Bank, Economic Research Department.
    2. Mariarosaria Comunale, 2017. "Synchronicity of real and financial cycles and structural characteristics in EU countries," CEIS Research Paper 414, Tor Vergata University, CEIS, revised 25 Sep 2017.
    3. Maximo Camacho & Danilo Leiva-Leon, 2014. "The Propagation of Industrial Business Cycles," Staff Working Papers 14-48, Bank of Canada.
    4. Funke, Michael & Leiva-Leon, Danilo & Tsang, Andrew, 2017. "Mapping China’s time-varying house price landscape," BOFIT Discussion Papers 21/2017, Bank of Finland, Institute for Economies in Transition.
    5. María Dolores Gadea-Rivas & Ana Gómez-Loscos & Danilo Leiva-Leon, 2017. "The evolution of regional economic interlinkages in Europe," Working Papers 1705, Banco de España;Working Papers Homepage.

    More about this item

    Keywords

    business cycles; Markov-Switching; network analysis;

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • 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
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics

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