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Measuring International Business Cycles by Saving for a Rainy Day

Author

Listed:
  • Mario J. Crucini

    (Department of Economics, Vanderbilt University and NBER (E-mail: mario.crucini@vanderbilt.edu))

  • Mototsugu Shintani

    (Department of Economics, Vanderbilt University (E-mail: mototsugu.shintani@vanderbilt.edu))

Abstract

We examine the business cycles of the member countries of the G-7 and Australia based on the cyclical measure considered by Cochrane ( 1994). The measure is motivated by the prediction that the representative consumer changes savings in response to temporary deviations of income from its stochastic trend, while satisfying a long-run budget constraint. We also compare Cochrane's original cyclical measure and an alternative simple saving-based measure and show that they track each other. Our analysis reveals that the extent of international business cycle comovement and the Great Moderation are significantly altered when the saving-based measures are employed in place of commonly used univariate business cycle filters.

Suggested Citation

  • Mario J. Crucini & Mototsugu Shintani, 2011. "Measuring International Business Cycles by Saving for a Rainy Day," IMES Discussion Paper Series 11-E-14, Institute for Monetary and Economic Studies, Bank of Japan.
    • Handle: RePEc:ime:imedps:11-e-14
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    Cited by:

    1. Kan Chen & Mario Crucini, 2016. "Trends & Cycles in Small Open Economies:Making the Case for a General Equilibrium Approach," Working Papers 16/12, BBVA Bank, Economic Research Department.
    2. Martínez-García Enrique, 2018. "Modeling time-variation over the business cycle (1960–2017): an international perspective," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-25, December.
    3. Chen, Kan & Crucini, Mario J., 2016. "Trends and cycles in small open economies: making the case for a general equilibrium approach," Journal of Economic Dynamics and Control, Elsevier, vol. 72(C), pages 159-168.
    4. David Amdur & Eylem Ersal Kiziler, 2014. "Trend shocks and the countercyclical U.S. current account," Canadian Journal of Economics, Canadian Economics Association, vol. 47(2), pages 494-516, May.

    More about this item

    Keywords

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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
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles

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