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World Shocks, World Prices, and Business Cycles : An Empirical Investigation
Fernández, Andrés - 2016
intratemporal relative price such as the terms of trade and possibly an intertemporal price such as the world interest rate. This … paper presents an empirical framework in which multiple commodity prices and the world interest rate transmit world … disturbances. Estimates on a panel of 138 countries over the period 1960-2015 indicate that world shocks explain on average 33 …
Persistent link: https://www.econbiz.de/10012455847
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Global Business Cycles : Convergence or Decoupling?
Kose, M. Ayhan - 2008
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...
Persistent link: https://www.econbiz.de/10012464278
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Heterogeneous Global Booms and Busts
Farboodi, Maryam; Kondor, Péter - National Bureau of Economic Research - 2021
We investigate the heterogeneous boom and bust patterns across countries that emerge as a result of global shocks. Our analysis sheds light on the emergence of core and periphery countries, and the joint determination of the depth of recessions and tightness of credit markets across countries....
Persistent link: https://www.econbiz.de/10012533383
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Identifying the Common Component in International Economic Fluctuations
Lumsdaine, Robin L. - 1997
common component, we find evidence for a `world business cycle' as well as evidence for a distinct European common component …
Persistent link: https://www.econbiz.de/10012472834
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Commodity-Price Comovement and Global Economic Activity
Alquist, Ron - 2014
Guided by a macroeconomic model in which non-energy commodity prices are endogenously determined, we apply a new factor-based identification strategy to decompose the historical sources of changes in commodity prices and global economic activity. The model yields a factor structure for commodity...
Persistent link: https://www.econbiz.de/10012458661
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Reserve Asset Competition and the Global Fiscal Cycle
Jiang, Zhengyang; Richmond, Robert J. - National Bureau of Economic Research - 2024
Governments tend to increase their borrowing at the same time, giving rise to a global fiscal cycle. This global fiscal cycle has a large component that is unexplained by global business cycle variables. We propose a novel explanation for the emergence of the global fiscal cycle: governments'...
Persistent link: https://www.econbiz.de/10015056167
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Globally Correlated Nominal Fluctuations
Henriksen, Espen - 2009
Cyclical fluctuations in nominal variables--aggregate price levels and nominal interest rates--are documented to be substantially more synchronized across countries than cyclical fluctuations in real output. A transparent mechanism that can account for this striking feature of the nominal...
Persistent link: https://www.econbiz.de/10012463527
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Global Business Cycles and Credit Risk
Pesaran, M. Hashem - 2005
risk factors. Using a global vector autoregressive macroeconomic model accounting for about 80% of world output, we propose …
Persistent link: https://www.econbiz.de/10012467187
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Understanding Changes in International Business Cycle Dynamics
Stock, James H. - 2003
The volatility of economic activity in most G7 economies has moderated over the past forty years. Also, despite large increases in trade and openness, G7 business cycles have not become more synchronized. After documenting these twin facts, we interpret G7 output data using a structural VAR that...
Persistent link: https://www.econbiz.de/10012468838
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International Trade and Business Cycles
Baxter, Marianne - 1995
together--there is a world component to business cycles. This paper argues that capital accumulation and international capital … flows are central to understanding world trade and business cycles. In particular, fluctuations in net exports and the …
Persistent link: https://www.econbiz.de/10012473868