Common shocks, common dynamics, and the international business cycle

Centoni, Marco; Cubadda, Gianluca; Hecq, Alain

doi:10.1016/j.econmod.2006.06.008

Cited by 23 publications

(13 citation statements)

References 34 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Our empirical framework avoids imposing a common dynamic factor structure on all countries prior to estimation. It is also not necessary to assume common trends or common cycles for identification (see Centoni, Cubadda, and Hecq, 2007;Engle, 1993, 1997), though our framework still accommodates potential commonalities (Everaert, 2007;Schleicher, 2003). Finally, we are able to directly use the estimated correlation matrix to examine the cross-country relationships, instead of estimating the correlations in a second stage using the estimated components.…”

Section: Introductionmentioning

confidence: 99%

Output Fluctuations in the G-7: An Unobserved Components Approach

Mitra

Sinclair

2010

SSRN Journal

View full text Add to dashboard Cite

This paper proposes a multivariate unobserved components model to simultaneously decompose the real GDP for each of the G-7 countries into their respective trend and cycle components. In contrast to previous literature, our model allows for explicit correlation between all the contemporaneous trend and cycle shocks. We find that all the G-7 countries have highly variable stochastic permanent components for output, even once we allow for structural breaks. We also find that common restrictions on the correlations between trend and cycle shocks are rejected by the data. In particular, we find that correlations across permanent and transitory shocks are important both within and across countries. † Corresponding author: tsinc@gwu.edu. The authors wish to thank

show abstract

Section: Introductionmentioning

confidence: 99%

Output Fluctuations in the G-7: An Unobserved Components Approach

Mitra

Sinclair

2010

SSRN Journal

View full text Add to dashboard Cite

show abstract

“…Estimation of (5) is carried out via the switching algorithms (see Centoni et al, 2007;Hecq, 2006) that use the procedure in estimating reduced-rank regression models as suggested by Anderson (1951). There is a formal connection between a reduced-rank regression and the canonical analysis, as noted by Izenman (1975), Box and Tiao (1977), Tso (1981) and Velu Reinsel and Wichern (1986).…”

Section: De…nitionmentioning

confidence: 99%

Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features

Gutierrez

Souza²,

Guillén

2009

Brazilian Review of Econometrics

View full text Add to dashboard Cite

An important aspect of empirical research based on the vector autoregressive (VAR) model is the choice of the lag order, since all inferences in this model depend on the correct model speci…cation. There have been many studies on how to select the lag order of a nonstationary VAR model subject to cointegration restrictions. In this work, we consider an additional weak-form (WF) restriction of common cyclical features in the model to analyze the appropriate way to select the correct lag order. We use two methodologies: the traditional information criteria (AIC, HQ and SC) and an alternative criterion (IC(p; s)) that selects the lag order p and the rank structure s due to the WF restriction. We use a Monte Carlo simulation in the analysis. The results indicate that the cost of ignoring additional WF restrictions in vector autoregressive modeling can be high, especially when the SC criterion is used.

show abstract

“…(17). In particular, the procedure, which is similar in the spirit to the switching algorithm suggested by Centoni et al (2007) to jointly test for common trends and common cycles, goes as follows:…”

Section: Clustering European Economies On Business Cycle Co-movementsmentioning

confidence: 99%

A general to specific approach for constructing composite business cycle indicators

2013

Self Cite

View full text Add to dashboard Cite

This article appeared in a journal published by Elsevier. The attached copy is furnished to the author for internal non-commercial research and education use, including for instruction at the authors institution and sharing with colleagues.Other uses, including reproduction and distribution, or selling or licensing copies, or posting to personal, institutional or third party websites are prohibited. Combining economic time series with the aim to obtain an indicator for business cycle analyses is an important issue for policy makers. In this area, econometric techniques usually rely on systems with either a small number of series, N, or, at the other extreme, a very large N. In this paper we propose tools to select the relevant business cycle indicators in a "medium" N framework, a situation that is likely to be the most frequent in empirical works. An example is provided by our empirical application, in which we study jointly the short-run co-movements of 24 European countries. We show, under not too restrictive conditions, that parsimonious single-equation models can be used to split a set of N countries in three groups. The first group comprises countries that share a synchronous common cycle, a non-synchronous common cycle is present among the countries of the second group, and the third group collects countries that exhibit idiosyncratic cycles. Moreover, we offer a method for constructing a composite coincident indicator that explicitly takes into account the existence of these various forms of short-run co-movements among variables.

show abstract

Common shocks, common dynamics, and the international business cycle

Cited by 23 publications

References 34 publications

Output Fluctuations in the G-7: An Unobserved Components Approach

Output Fluctuations in the G-7: An Unobserved Components Approach

Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features

A general to specific approach for constructing composite business cycle indicators

Contact Info

Product

Resources

About