This working paper was written by Yin-Wong Cheung (University of California, Santa Cruz and Hong Kong Institute for Monetary Research).Advanced statistical techniques are used to analyze Hong Kong output dynamics. Hong Kong, Japan and the U.S. are found to share some common long-term and...

This working paper was written by Yin-wong Cheung (University of California, Santa Cruz) and Jude Yuen (University of California, Santa Cruz).The prospect of creating a currency union consisting of China, Japan, and Korea is evaluated using output data. After a brief discussion on the...

We propose and implement an index of macroeconomic vulnerability to foreign shocks based on a structural time-varying bayesianVARwith a block-exogeneity hypothesis for a given pair of a large economy and a small open economy. The index is based on the sum of the responses of the small open...

The aim of this paper is to investigate business cycle synchronization between seven candidate countries to the Euro Area (EA) - Bulgaria, Czech Republic, Croatia, Hungary, Poland, Romania and Sweden - and the Euro Area (EA-12/EA-19), France and Germany. The Hodrick-Prescott filter is used to...

In this paper, we develop an aggregation procedure using time-varying weights for constructing the common component in international economic fluctuations. The methodology for deriving time-varying weights is based on some stylized features of the data documented in the paper. The model allows...

This paper uses firm-level information to evaluate how crises are transmitted internationally. It constructs a new data set of financial statistics, industry information, geographic data, and stock returns for over 10,000 companies in 46 countries to test what types of firms were most affected...

During the past two decades, financial markets across the globe have experienced sporadic waves of crashes. Such waves raise concerns about the vulnerability of global financial markets and the transmission mechanisms of shocks beyond borders. The current study examines the co-movement of stock...

The evolution of the convergence among the European countries, including both Eurozone as well as non-Eurozone economies, is investigated in this paper. To do so, we construct correlation-based networks and study them by employing the Threshold Weighted-Minimum Dominating Set (TW-MDS) algorithm...

We study the link between the global financial cycle and macroeconomic tail risks using quantile vector autoregressions. Contractionary shocks to financial conditions and monetary policy in the United States cause elevated downside risks to growth around the world. By tightening financial...

What are the cross-border spillovers from major economies' quantitative easing (QE) policies to their trading partners? We provide evidence by concentrating on spillovers from the US to Canada during the zero lower bound period when QE policies were actively used. We identify QE shocks in the US...

Prior evidence suggests that macroprudential policy has small and insignificant effects on the volume of portfolio flows. We show, however, that these minor effects mask very different relationships across the global financial cycle. A tighter ex-ante macroprudential stance amplifies the impact...

We assess the conditional relationships in the time-frequency domain between the return on Brazilian financial index, IFNC, and the COVID-19 cases or deaths in Hubei, in countries who stood out in this health crisis scenario and the world, considering the period from January 29 to December 31,...

Recessions are associated with sharp increases in turbulence that reshuffle firms' productivity rankings. To study the business cycle implications of turbulence shocks, we use Compustat data to construct a measure of turbulence based on the (inverse of) Spearman correlations of firms'...

This paper develops a structural VAR model to measure how a shock to one country can affect the GDP of other countries. It uses trade linkages to estimate the multiplier effects of a shock as it is transmitted through other countries' output fluctuations. The paper introduces a new specification...

Using the measures proposed by Mink et al. (2012), we reexamine the coherence of business cycles in the euro area using a long sample period. We also analyze the impact of the COVID-19 pandemic on business cycle coherence and examine whether our measures for business cycle coherence indicate a...

This work is aimed to explore the indirect impact of the EU's COVID-19 economic recession on global renewable energy consumption from the perspective of spillover effect. To this end, a global vector autoregressive (GVAR)-energy model was constructed based on the data of 33 major economies....

We document the cyclical behavior of the post-tax income distribution in the US. The analysis is based on a dataset that is informative for the lower and the upper tail of the post-tax income distribution and that also matches aggregate national income. Most importantly, lower and higher income...

This paper establishes the statistical relationship between world business cycle and global temperature cycle. To amplify the signal to noise ratio, the two-state latent dynamics is estimated from the original process by utilizing the newly developed endogenous regime switching methodology of...

We analyze business cycle movements and synchronization in the European Union (EU) for all members. We show that both the estimated output gaps and the level of synchronization depend on the statistical measures used by the researcher. To account for this, we employ a large set of output gaps,...

This research study dealt with the question of the business cycle synchronization in the European and non-European Union countries. More specifically, it examined the business cycle synchronization degree between the EU and non-EU countries with the United States and France. Moreover, it...

What role do deposits play in the international transmission of US monetary policy shocks? We find that the US monetary shocks are transmitted internationally through banks' deposits. Specifically, we document that after a 1 p.p. unexpected increase in the policy rate, global banks increase...

This article investigates the effects of the different exchange rate regimes on business cycles comovement between advanced and emerging countries. We use the Granger Causality test (VAR model) on panel data to examine the causal relationships. Our findings show the existence of a bidirectional...

We synthetically assess the three major transmission channels of international business cycles: bilateral trade, foreign direct investment (FDI), and portfolio investment flows between economies with multiple fixed effects. Using the data of 72 economies during 2010-2019, we find that real and...

Global growth has decelerated over the course of the year under the impact of high energy prices and great uncertainty. Monetary policy, which is being tightened very quickly in view of high inflationary pressure across the board, is now also putting a drag on economic activity. Overall,...

This dissertation consists of three independent research papers and contributes to the empirical analysis of the interaction between business and financial cycles from different perspectives. The first paper uses a non-linear multilevel dynamic factor model to better understand the changing...

This paper analyzes the evolution of the degree of global cyclical interdependence over the period 1960-2005. We categorize the 106 countries in our sample into three groups -- industrial countries, emerging markets, and other developing economies. Using a dynamic factor model, we then decompose...

We study the transmission channels through which shocks affect the global economy and the crosscountry comovement of real economic activity. For this purpose, we collect detailed data on international trade and financial linkages as well as domestic macro and financial variables for a large set...