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Similarities and convergence in G-7 cycles
Canova, Fabio; Ciccarelli, Matteo; Ortega, Eva
Universitat Pompeu Fabra. Departament d'Economia i Empresa
This paper examines the properties of G-7 cycles using a multicountry Bayesian panelVAR model with time variations, unit specific dynamics and cross country interdependences.We demonstrate the presence of a significant world cycle and show that country specificindicators play a much smaller role. We detect differences across business cycle phasesbut, apart from an increase in synchronicity in the late 1990s, find little evidence of major structural changes. We also find no evidence of the existence of an Euro area specific cycle or of its emergence in the 1990s.
Macroeconomics and International Economics
business cycle
panel data
bayesian methods
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