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Trade in commodities and business cycle volatility

Kohn, David; Leibovici, Fernando; Tretvoll, Hakon - 2018

This paper studies the role of differences in the patterns of production and international trade on the business cycle volatility of emerging and developed economies. We study a multi-sector small open economy in which firms produce and trade commodities and manufactures. We estimate the model...

Persistent link: https://www.econbiz.de/10011911446

Volatility co-movement and the great moderation : an empirical analysis

Mumtaz, Haroon; Theodoridis, Konstantinos - 2016

We propose an extended time-varying parameter Vector Autoregression that allows for an evolving relationship between the variances of the shocks. Using this model, we show that the relationship between the conditional variance of GDP growth and the long-term interest rate has become weaker over...

Persistent link: https://www.econbiz.de/10011554403

Contagious switching

Owyang, Michael T.; Piger, Jeremy Max; Soques, Daniel - 2019

In this paper, we analyze the propagation of recessions across countries. We construct a model with multiple qualitative state variables that evolve in a VAR setting. The VAR structure allows us to include country-level variables to determine whether policy also propagates across countries. We...

Persistent link: https://www.econbiz.de/10012015545

World shocks, world prices, and business cycles : an empirical investigation

Fernández, Andrés; Schmitt-Grohé, Stephanie; Uribe, … - 2017

SVAR models that include a single world price (such as the terms-of-trade) predict that world shocks explain a small … multiple commodity prices transmit world disturbances. Estimates on a panel of 138 countries over the period 1960-2015 indicate … that world shocks explain on average 33 percent of output fluctuations in individual economies. This figure doubles when …

Persistent link: https://www.econbiz.de/10011673250

Developing country business cycles : characterising the cycle

Male, Rachel - 2010

Classical business cycles, following Burns and Mitchell (1946), can be defined as the sequential pattern of expansions and contractions in aggregate economic activity. Recently, Harding and Pagan (2002, 2006) have provided an econometric toolkit for the analysis of these cycles, and this has...

Persistent link: https://www.econbiz.de/10003990418

Developing country business cycles : revisiting the stylised facts

Male, Rachel - 2010

Identifying business cycle stylised facts is essential as these often form the basis for the construction and validation of theoretical business cycle models. Furthermore, understanding the cyclical patterns in economic activity, and their causes, is important to the decisions of both...

Persistent link: https://www.econbiz.de/10003990420

Economic cycles and their synchronization : a survey of spectral properties

Sella, L.; Vivaldo, G.; Groth, A.; Ghil, Michael - 2013

The present work applies several advanced spectral methods to the analysis of macroeconomic fluctuations in three countries of the European Union: Italy, The Netherlands, and the United Kingdom. We focus here in particular on singular-spectrum analysis (SSA), which provides valuable spatial and...

Persistent link: https://www.econbiz.de/10010225969

How Phillips curve dynamics enhance business cycle synchronization analysis in Central and Eastern Europe

Petz, Nico; Zörner, Thomas - 2025

This paper analyzes business cycle synchronization and the Phillips curve (PC) relationship in Central, Eastern, and Southeastern European (CESEE) economies relative to the euro area. We find an overall increase in business cycle synchronicity, particularly among Euro adoption candidates, with...

Persistent link: https://www.econbiz.de/10015402052

International credit markets and global business cycles

Pintus, Patrick A.; Wen, Yi; Xin, Xiaochuan - 2018 - This version: May 14, 2018

subject to self-fulfilling variations in the world real interest rate. Those expectation-driven changes in the borrowing cost … asset prices, GDP, consumption, investment and employment). When firms around the world benefit from unexpectedly low debt … internationally. Such a stylized model thus offers one way to rationalize both the existence of world business-cycle factor documented …

Persistent link: https://www.econbiz.de/10011911509

The changing transmission of uncertainty shocks in the US : an empirical analysis

Mumtaz, Haroon; Theodoridis, Konstantinos - 2014

This paper investigates if the impact of uncertainty shocks on the US economy has changed over time. To this end, we develop an extended Factor Augmented VAR model that simultaneously allows the estimation of a measure of uncertainty and its time-varying impact on a range of variables. We find...

Persistent link: https://www.econbiz.de/10010472799