Business Cycles in Emerging market Economies: A New View of the Stylised Facts
This paper builds on an earlier work in business cycle theory - explicitly in the classical cycle tradition of Burns and Mitchell (1946) and the more recent work by Harding and Pagan (e.g.: 2002a; 2005b; 2005a) - to identify and analyse business cycles in emerging market economies. The goal is to revisit the work of for example Agénor, McDermott and Prasad (2000), whom have established a set of stylised facts for business cycle fluctuations in developing countries. Agénor, et. al. (2000) established these stylised facts using the presently standard method of analysing the features of serially correlated deviations from trends (idenified with statistical techniques such as the Hodrick-Prescott filter) in certain macroeconomic time series, including real GDP, the price level, and components of final demand. The alternative method, implemented in this paper, uses an algorithm of Bry and Boschan (1971), and the recent work of Harding and Pagan to identify the various stylised facts regarding the duration, steepness, amplitude and concordance of these fluctuations in emerging market economies.
|Date of creation:||2006|
|Date of revision:|
|Contact details of provider:|| Postal: |
Fax: +27 (0)21-808 2409
Web page: http://www.ekon.sun.ac.za
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Antonio Fatás & Ilian Mihov, 2003.
"The Case For Restricting Fiscal Policy Discretion,"
The Quarterly Journal of Economics,
MIT Press, vol. 118(4), pages 1419-1447, November.
- Pallage, Stephane & Robe, Michel A, 2001.
"Foreign Aid and the Business Cycle,"
Review of International Economics,
Wiley Blackwell, vol. 9(4), pages 641-72, November.
- Michel A. Robe & Stephane Pallage, 2000. "Foreign Aid And The Business Cycle," Computing in Economics and Finance 2000 107, Society for Computational Economics.
- Stephane Pallage & Michel Robe, 1998. "Foreign Aid and the Business Cycle," Cahiers de recherche CREFE / CREFE Working Papers 63, CREFE, Université du Québec à Montréal.
- Gerhard Bry & Charlotte Boschan, 1971. "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs," NBER Books, National Bureau of Economic Research, Inc, number bry_71-1.
- Mankiw, N Gregory, 2001.
"The Inexorable and Mysterious Tradeoff between Inflation and Unemployment,"
Royal Economic Society, vol. 111(471), pages C45-61, May.
- N. Gregory Mankiw, 2000. "The Inexorable and Mysterious Tradeoff Between Inflation and Unemployment," Harvard Institute of Economic Research Working Papers 1905, Harvard - Institute of Economic Research.
- N. Gregory Mankiw, 2000. "The Inexorable and Mysterious Tradeoff Between Inflation and Unemployment," NBER Working Papers 7884, National Bureau of Economic Research, Inc.
- Newey, Whitney & West, Kenneth, 2014.
"A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix,"
Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
- Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May.
- Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
- Christina D. Romer & David H. Romer, 1994.
"What Ends Recessions?,"
in: NBER Macroeconomics Annual 1994, Volume 9, pages 13-80
National Bureau of Economic Research, Inc.
- A. Javier Hamann & Ales Bulir, 2001.
"How Volatile and Unpredictable Are Aid Flows, and What Are the Policy Implications?,"
IMF Working Papers
01/167, International Monetary Fund.
- Bulir, Ales & Hamann, A. Javier, 2001. "How Volatile and Unpredictable are Aid Flows, and What are the Policy Implications?," Working Paper Series UNU-WIDER Research Paper , World Institute for Development Economic Research (UNU-WIDER).
- Christina D. Romer, 1999.
"Changes in Business Cycles: Evidence and Explanations,"
NBER Working Papers
6948, National Bureau of Economic Research, Inc.
- Christina D. Romer, 1999. "Changes in Business Cycles: Evidence and Explanations," Journal of Economic Perspectives, American Economic Association, vol. 13(2), pages 23-44, Spring.
- Alan S. Blinder & Stanley Fischer, 1979.
"Inventories, Rational Expectations, and the Business Cycle,"
NBER Working Papers
0381, National Bureau of Economic Research, Inc.
- Blinder, Alan S. & Fischer, Stanley, 1981. "Inventories, rational expectations, and the business cycle," Journal of Monetary Economics, Elsevier, vol. 8(3), pages 277-304.
- A. S. Blinder & S. Fischer, 1978. "Inventories, Rational Expectations, and the Business Cycle," Working papers 220, Massachusetts Institute of Technology (MIT), Department of Economics.
- Don Harding & Adrian Pagan, 2000.
"Disecting the Cycle: A Methodological Investigation,"
Econometric Society World Congress 2000 Contributed Papers
1164, Econometric Society.
- Harding, Don & Pagan, Adrian, 2002. "Dissecting the cycle: a methodological investigation," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 365-381, March.
- Harding, Don & Pagan, Adrian, 2001. "Extracting, Using and Analysing Cyclical Information," MPRA Paper 15, University Library of Munich, Germany.
- Harding, Don & Pagan, Adrian, 2003. "A comparison of two business cycle dating methods," Journal of Economic Dynamics and Control, Elsevier, vol. 27(9), pages 1681-1690, July.
- Adrian Pagan & Don Harding, 2005. "A suggested framework for classifying the modes of cycle research," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 151-159.
- C. John McDermott & Alasdair Scott, 2000.
"Concordance in Business Cycles,"
IMF Working Papers
00/37, International Monetary Fund.
- C John McDermott & Alasdair Scott, 1999. "Concordance in business cycles," Reserve Bank of New Zealand Discussion Paper Series G99/7, Reserve Bank of New Zealand.
- Harding, Don & Pagan, Adrian, 2003. "Rejoinder to James Hamilton," Journal of Economic Dynamics and Control, Elsevier, vol. 27(9), pages 1695-1698, July.
- C. John McDermott & Eswar Prasad & Pierre-Richard AgÃ©nor, 1999.
"Macroeconomic Fluctuations in Developing Countries; Some Stylized Facts,"
IMF Working Papers
99/35, International Monetary Fund.
- Agenor, Pierre-Richard & McDermott, C John & Prasad, Eswar S, 2000. "Macroeconomic Fluctuations in Developing Countries: Some Stylized Facts," World Bank Economic Review, World Bank Group, vol. 14(2), pages 251-85, May.
- M. Ayhan Kose & Marco Terrones & Eswar Prasad, 2003. "Volatility and Comovement in a Globalized World Economy; An Empirical Exploration," IMF Working Papers 03/246, International Monetary Fund.
- Harding, Don & Pagan, Adrian, 2006. "Synchronization of cycles," Journal of Econometrics, Elsevier, vol. 132(1), pages 59-79, May.
When requesting a correction, please mention this item's handle: RePEc:sza:wpaper:wpapers16. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Melt van Schoor)
If references are entirely missing, you can add them using this form.