Hidden Bibliographic Details
| Other authors / contributors: | Otrok, Christopher, author.
Whiteman, Charles H., author.
International Monetary Fund. Research Department, issuing body.
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| ISBN: | 1283512785
9781283512787
9781451907667
1451907664
1462332676
9781462332670
1451989377
9781451989373
9786613825230
6613825239
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| Notes: | Includes bibliographical references (pages 21-24).
English.
Print version record.
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| Summary: | This paper studies the changes in world business cycles during 1960-2003. We employ a Bayesian dynamic latent factor model to estimate common and country-specific components in the main macroeconomic aggregates of the Group of Seven (G-7) countries. We then quantify the relative importance of these components in explaining comovement in each observable aggregate over three distinct time periods: the Bretton Woods (BW) period (1960-72), the period of common shocks (1972-86), and the globalization period (1986-2003). The results indicate that the common (G-7) factor explains a larger fraction of output, consumption, and investment volatility in the globalization period than in the BW period. These findings suggest that the degree of comovement of business cycles in major macroeconomic aggregates across the G-7 countries has increased during the globalization period.
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| Other form: | Print version: Kose, M. Ayhan. Understanding the evolution of world business cycles. [Washington, D.C.] : International Monetary Fund, Research Dept., 2005
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