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Business Cycles in Emerging market Economies: A New View of the Stylised Facts

Author

Listed:
  • Stan du Plessis

    (Department of Economics, Stellenbosch University)

Abstract

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.

Suggested Citation

  • Stan du Plessis, 2006. "Business Cycles in Emerging market Economies: A New View of the Stylised Facts," Working Papers 02/2006, Stellenbosch University, Department of Economics.
    • Handle: RePEc:sza:wpaper:wpapers16
    as

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    File URL: https://www.ekon.sun.ac.za/wpapers/2006/wp022006/wp-02-2006.pdf
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    References listed on IDEAS

    as
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    Cited by:

    1. Romain Houssa & Jolan Mohimont & Christopher Otrok, 2015. "Sources of Business Cycles in a Low Income Country," Pacific Economic Review, Wiley Blackwell, vol. 20(1), pages 125-148, February.
    2. Rachel Male, 2011. "Developing Country Business Cycles: Characterizing the Cycle," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(0), pages 20-39, May.
    3. Stijn Claessens & M. Ayhan Kose & Marco E. Terrones, 2011. "Recessions and Financial Disruptions in Emerging Markets: A Bird’s Eye View," Central Banking, Analysis, and Economic Policies Book Series, in: Luis Felipe Céspedes & Roberto Chang & Diego Saravia (ed.),Monetary Policy under Financial Turbulence, edition 1, volume 16, chapter 4, pages 059-104, Central Bank of Chile.
    4. Radhika Pandey & Ila Patnaik & Ajay Shah, 2017. "Dating business cycles in India," Indian Growth and Development Review, Emerald Group Publishing Limited, vol. 10(1), pages 32-61, April.
    5. Ivan D. Trofimov, 2024. "A Time Series Analysis of Corporate Profit Rates in Selected Developed Economies: Asymmetries, Non-linearity and Mean Reversion," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 22(2), pages 303-338, June.
    6. Leon du Toit, 2009. "Economic Crises, Stabilisation Policy and Output in Emerging Market Economies," Working Papers 20/2009, Stellenbosch University, Department of Economics.
    7. Esteban Pérez Caldentey & Daniel Titelman & Pablo Carvallo, 2014. "Weak Expansions: A Distinctive Feature of the Business Cycle in Latin America and the Caribbean," World Economic Review, World Economics Association, vol. 2014(3), pages 1-69, February.
    8. Mehdi Bhoury & Mohamed Slim Mouha, 2015. "Characteristics of the Tunisian Business Cycle and its International Synchronization," IHEID Working Papers 16-2015, Economics Section, The Graduate Institute of International Studies.
    9. Pieter Laubscher, 2014. "A new recession-dating algorithm for South Africa," Working Papers 06/2014, Stellenbosch University, Department of Economics.
    10. Rachel Male, 2010. "Developing Country Business Cycles: Characterising the Cycle," Working Papers 663, Queen Mary University of London, School of Economics and Finance.
    11. James N. Blignaut & Jan H. van Heerden, 2015. "Is Water Shedding Next?," Working Papers 50, Economic Research Southern Africa.
    12. Wong, Shirly Siew-Ling & Puah, Chin-Hong & Abu Mansor, Shazali & Liew, Venus Khim-Sen, 2012. "Early warning indicator of economic vulnerability," MPRA Paper 39944, University Library of Munich, Germany.
    13. Wh Boshoff, 2005. "The Properties Of Cycles In South African Financial Variables And Their Relation To The Business Cycle," South African Journal of Economics, Economic Society of South Africa, vol. 73(4), pages 694-709, December.

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    More about this item

    Keywords

    business cycles; turning points; emerging market economies; quantitative analysis of business cycles; time series econometrics; regression with binary variables;
    All these keywords.

    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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