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Disaggregating the international business cycle

Author

Listed:
  • Gilhooly, Robert

    () (Monetary Policy Committee Unit, Bank of England)

  • Weale, Martin

    () (Monetary Policy Committee Unit, Bank of England)

  • Wieladek, Tomasz

    () (Monetary Policy Committee Unit, Bank of England)

Abstract

This paper investigates the international business cycle with new sector level data on hours and output for Canada, Germany, France, Italy, the United Kingdom and the United States from 1992 Q1 to 2011 Q3. We estimate a Bayesian dynamic common factor model on this disaggregate data to decompose the quarterly growth rates of output, hours worked and labour productivity into contributions from global, country, sector and idiosyncratic factors. During the ‘Great Recession’ our results suggest that the global factor became the most important determinant of output, hours and labour productivity growth. Before the ‘Great Recession’, on the other hand, the global factor was not very important; country and idiosyncratic factors were the dominant influences on output, hours and productivity; sector factors never matter very much.

Suggested Citation

  • Gilhooly, Robert & Weale, Martin & Wieladek, Tomasz, 2012. "Disaggregating the international business cycle," Discussion Papers 37, Monetary Policy Committee Unit, Bank of England.
  • Handle: RePEc:mpc:wpaper:0037
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    References listed on IDEAS

    as
    1. Fabrizio Perri & Vincenzo Quadrini, 2018. "International Recessions," American Economic Review, American Economic Association, vol. 108(4-5), pages 935-984, April.
    2. M. Ayhan Kose & Christopher Otrok & Eswar Prasad, 2012. "Global Business Cycles: Convergence Or Decoupling?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 53(2), pages 511-538, May.
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    4. Ohanian, Lee E. & Raffo, Andrea, 2012. "Aggregate hours worked in OECD countries: New measurement and implications for business cycles," Journal of Monetary Economics, Elsevier, vol. 59(1), pages 40-56.
    5. 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.
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    11. Jacquier, Eric & Polson, Nicholas G. & Rossi, P.E.Peter E., 2004. "Bayesian analysis of stochastic volatility models with fat-tails and correlated errors," Journal of Econometrics, Elsevier, vol. 122(1), pages 185-212, September.
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    More about this item

    Keywords

    Labour productivity; international business cycles; dynamic common factor model;

    JEL classification:

    • F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles

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