The Dynamics of Permanent and Transitory Components in International Business Cycles
The paper investigates the dynamics of permanent and transitory components that are common across seven developed nations of the world. The common components are modeled to exhibit different behavior in the expansion and recession phases of international business cycles. I employ a multivariate unobserved components model with Markov regime switching to measure the common components of international time series. The model is estimated in its state-space representation by applying the Kalman filter and Kim’s (1994) approximate maximum likelihood algorithm. I find that, in contrast to individual country’s business cycles, the international business cycle does not exhibit classical contraction and expansion phases. The international permanent component has two phases: a high-growth phase and a low-growth phase, and there is no evidence of an international transitory component. I find that the switch from a high-growth regime to a low-growth regime occurs in the second quarter of 1973. There are no further switches that occur from one regime to another. I also find that among the seven developed nations examined, Japan is the most sensitive and Germany is the least sensitive to international permanent shocks.
|Date of creation:||2005|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (817) 272-3061
Fax: (817) 272-3145
Web page: http://economics.uta.edu/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:txa:wpaper:0504. 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: (Shushanik Papanyan)The email address of this maintainer does not seem to be valid anymore. Please ask Shushanik Papanyan to update the entry or send us the correct address
If references are entirely missing, you can add them using this form.