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Business Cycle Spillovers

  • Kamil Yilmaz

    (Koc University, Istanbul Turkey)

We apply Diebold-Yilmaz spillover index methodology to monthly industrial production indices to study business cycle interdependence among G-6 countries. We show evidence that business cycle spillovers fluctuate substantially over time, increasing especially after the 1973-75 and 1981-82 recessions as well as during the expansion after the 2001 U.S. recession. Our most important result, however, is related to the current state of the world economy: In a matter of four months since September 2008, the business cycle spillover index recorded the sharpest increase ever and reached a record level as of December 2008, an unambiguous indicator that the global economy has already been in recession. Focusing on the direction of spillovers, we show that the recessionary shocks are originating mostly from the United States and spreading to other G-6 countries.

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Paper provided by Society for Economic Dynamics in its series 2009 Meeting Papers with number 1079.

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Date of creation: 2009
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Handle: RePEc:red:sed009:1079
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  1. Daron Acemoglu, Kenneth Rogoff, Michael Woodford, 2008. "Discussion of chapter 4," NBER Chapters, in: NBER Macroeconomics Annual 2007, Volume 22, pages 295-297 National Bureau of Economic Research, Inc.
  2. Francis X. Diebold & Kamil Yılmaz, 2007. "Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets," Koç University-TUSIAD Economic Research Forum Working Papers 0705, Koc University-TUSIAD Economic Research Forum.
  3. 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, 05.
  4. Francis X. Diebold & Kamil Yilmaz, 2010. "Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers," Koç University-TUSIAD Economic Research Forum Working Papers 1001, Koc University-TUSIAD Economic Research Forum, revised Mar 2010.
  5. Reinhart, Carmen & Reinhart, Vincent, 2008. "Is the US too big to fail?," MPRA Paper 12976, University Library of Munich, Germany.
  6. Daron Acemoglu, Kenneth Rogoff, Michael Woodford, 2008. "Discussion of chapter 2," NBER Chapters, in: NBER Macroeconomics Annual 2007, Volume 22, pages 165-167 National Bureau of Economic Research, Inc.
  7. Daron Acemoglu, Kenneth Rogoff, Michael Woodford, 2008. "Discussion of chapter 6," NBER Chapters, in: NBER Macroeconomics Annual 2007, Volume 22, pages 471-473 National Bureau of Economic Research, Inc.
  8. Daron Acemoglu, Kenneth Rogoff, Michael Woodford, 2008. "Discussion of chapter 3," NBER Chapters, in: NBER Macroeconomics Annual 2007, Volume 22, pages 247-249 National Bureau of Economic Research, Inc.
  9. Daron Acemoglu, Kenneth Rogoff, Michael Woodford, 2008. "Discussion of chapter 5," NBER Chapters, in: NBER Macroeconomics Annual 2007, Volume 22, pages 377-379 National Bureau of Economic Research, Inc.
  10. Brian M. Doyle & Jon Faust, 2005. "Breaks in the Variability and Comovement of G-7 Economic Growth," The Review of Economics and Statistics, MIT Press, vol. 87(4), pages 721-740, November.
  11. Daron Acemoglu, Kenneth Rogoff, Michael Woodford, 2008. "Discussion of chapter 1," NBER Chapters, in: NBER Macroeconomics Annual 2007, Volume 22, pages 79-81 National Bureau of Economic Research, Inc.
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