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International Business Cycles: Regime Shifts in the Stochastic Process of Economic Growth

  • Krozlig, H.M.
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    This paper analyzes regime shifts in the stochastic process of economic growth of six major OECD countries over three decades. For the statistical measurement of the underlying global business cycle, we generalize Hamilton's model of the US business cycle to a Markov-switching vector auto-regressive time series model. Applying the model to six series of quarterly GNP growth rates, the paper provides empirical evidence for the dominance of common shocks as the source of international business cycles. For all countries, business cycles can be identified as regime shifts in the mean growth rate occuring mainly simultaneously across countries.

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    Paper provided by University of Oxford, Department of Economics in its series Economics Series Working Papers with number 99194.

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    Length: 31 pages
    Date of creation: 1997
    Date of revision:
    Handle: RePEc:oxf:wpaper:99194
    Contact details of provider: Postal: Manor Rd. Building, Oxford, OX1 3UQ
    Web page: http://www.economics.ox.ac.uk/Email:


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