TY - JOUR
T1 - Understanding the evolution of world business cycles
AU - Ayhan Kose, M.
AU - Otrok, Christopher
AU - Whiteman, Charles H.
PY - 2008/5
Y1 - 2008/5
N2 - This paper studies the changes in world business cycles during the period 1960-2003. We employ a Bayesian dynamic latent factor model to estimate common and country-specific components in the main macroeconomic aggregates (output, consumption, and investment) of the G-7 countries. We then quantify the relative importance of the common and country components in explaining comovement in each observable aggregate over three distinct time periods: the Bretton Woods (BW) period (1960:1-1972:2), the period of common shocks (1972:3-1986:2), and the globalization period (1986:3-2003:4). The results indicate that the common (G-7) factor explains, on average, a larger fraction of output, consumption and investment volatility in the globalization period than it does in the BW period.
AB - This paper studies the changes in world business cycles during the period 1960-2003. We employ a Bayesian dynamic latent factor model to estimate common and country-specific components in the main macroeconomic aggregates (output, consumption, and investment) of the G-7 countries. We then quantify the relative importance of the common and country components in explaining comovement in each observable aggregate over three distinct time periods: the Bretton Woods (BW) period (1960:1-1972:2), the period of common shocks (1972:3-1986:2), and the globalization period (1986:3-2003:4). The results indicate that the common (G-7) factor explains, on average, a larger fraction of output, consumption and investment volatility in the globalization period than it does in the BW period.
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U2 - 10.1016/j.jinteco.2007.10.002
DO - 10.1016/j.jinteco.2007.10.002
M3 - Article
AN - SCOPUS:43149119013
SN - 0022-1996
VL - 75
SP - 110
EP - 130
JO - Journal of International Economics
JF - Journal of International Economics
IS - 1
ER -