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Are Business Cycles All Alike? A Bandpass Filter Analysis of Italian and US Cycles

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  • Mauro Napoletano
  • Andrea Roventini
  • Sandro Sapio

Abstract

In this paper, we apply the bandpass filter to the main Italian and US macroeconomic variables, we estimate cross-correlations with respect to a benchmark indicator of the business cycle, and we compare results with previous empirical analyses. The aim is to investigate on the existence of specific patterns and more general regularities, in order to provide further insights as to what facts macroeconomic theories are supposed to predict and explain, and new hints at the underlying generating mechanisms. Our results underline the existence of significant specificities of the Italian business cycle with respect to the US. Certain macroeconomic relations - such as those between consumption, investments, exports, stock market variables, and the real GDP - do not robustly hold. This is a clear signal that which variables prompt and which respond to business cycles depends on country- specific characteristics.

Suggested Citation

  • Mauro Napoletano & Andrea Roventini & Sandro Sapio, 2004. "Are Business Cycles All Alike? A Bandpass Filter Analysis of Italian and US Cycles," LEM Papers Series 2004/25, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  • Handle: RePEc:ssa:lemwps:2004/25
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    References listed on IDEAS

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    1. Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
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    6. Canova, Fabio, 1999. "Does Detrending Matter for the Determination of the Reference Cycle and the Selection of Turning Points?," Economic Journal, Royal Economic Society, vol. 109(452), pages 126-150, January.
    7. Mojon, Benoît & Agresti, Anna Maria, 2001. "Some stylised facts on the euro area business cycle," Working Paper Series 95, European Central Bank.
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    Keywords

    Business Cycles; Bandpass Filter; Cross Correlations; Italian Economy; Macroeconomics.;
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