Global business cycles : convergence or decoupling? /

Global business cycles : convergence or decoupling? /

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Bibliographic Details
Author / Creator:	Kose, M. Ayhan, author.
Imprint:	Washington, D.C. : International Monetary Fund, 2008. ©2008
Description:	1 online resource (48 pages) : illustrations
Language:	English
Series:	IMF working paper, 2227-8885 ; WP/08/143 IMF working paper ; WP/08/143.
Subject:	Business cycles -- Econometric models. Globalization. Business cycles -- Econometric models. Globalization.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12495503

Hidden Bibliographic Details
Other authors / contributors:	Otrok, Christopher, author. Prasad, Eswar S., 1965-
ISBN:	1451914547 9781451914542 9781451914542 9781451870015 1451870019
Digital file characteristics:	text file
Notes:	Includes bibliographical references (pages 27-30). Print version record.
Summary:	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 macroeconomic fluctuations in key macroeconomic aggregates-output, consumption, and investment-into different factors. These are: (i) a global factor, which picks up fluctuations that are common across all variables and countries; (ii) three group-specific factors, which capture fluctuations that are common to all variables and all countries within each group of countries; (iii) country factors, which are common across all aggregates in a given country; and (iv) idiosyncratic factors specific to each time series. Our main result is that, during the period of globalization (1985-2005), there has been some convergence of business cycle fluctuations among the group of industrial economies and among the group of emerging market economies. Surprisingly, there has been a concomitant decline in the relative importance of the global factor. In other words, there is evidence of business cycle convergence within each of these two groups of countries but divergence (or decoupling) between them.
Other form:	Print version: Kose, M. Ayhan. Global business cycles. Washington, D.C. : International Monetary Fund, Research Dept., 2008
Standard no.:	10.5089/9781451914542.001

Description
Summary:	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 macroeconomic fluctuations in key macroeconomic aggregates-output, consumption, and investment-into different factors. These are: (i) a global factor, which picks up fluctuations that are common across all variables and countries; (ii) three group-specific factors, which capture fluctuations that are common to all variables and all countries within each group of countries; (iii) country factors, which are common across all aggregates in a given country; and (iv) idiosyncratic factors specific to each time series. Our main result is that, during the period of globalization (1985-2005), there has been some convergence of business cycle fluctuations among the group of industrial economies and among the group of emerging market economies. Surprisingly, there has been a concomitant decline in the relative importance of the global factor. In other words, there is evidence of business cycle convergence within each of these two groups of countries but divergence (or decoupling) between them.
Physical Description:	1 online resource (48 pages) : illustrations
Bibliography:	Includes bibliographical references (pages 27-30).
ISBN:	1451914547 9781451914542 9781451870015 1451870019
ISSN:	2227-8885 ;