Are business cycles all alike? A bandmass filter analysis of Italian and US cycles

In this paper, we perform an empirical comparison of Italian and US business cycles. After filtering the time series of the main macroeconomic variables of the two countries, through an approximate bandpass filter, we analyze the cross-correlations between each filtered variable and the filtered GDP, indicator of the business cycle. We find heterogeneity in business cycle dynamics as regards variables related to the industrial structure (see exports, investment in construction), and to the organization of markets (e.g. stock prices, private consumption), interpreted as effects of local path-dependencies. Cyclical components of prices, labor market variables, and monetary policy indicators are almost invariant across economies, reflecting common international drivers, such as the Federal Reserve Bank monetary policy, and international oil prices.