A Cycle-Specific Approach to Business Cycles: Empirical Evidence from the G7
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| Format: | Artículo científico |
| Language: | en |
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Universidad Nacional Autónoma de México
2003
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| author | Marco Gallegati |
| author_facet | Marco Gallegati |
| contents | A Cycle-Specific Approach to Business Cycles: Empirical Evidence from the G7 Marco Gallegati Mauro Gallegati Economía y Finanzas The goal of the paper consists in investigating if co-movements in some selectedtime series are common to various countries and cyclical phases. To do so, weuse 18 economic time series (GDP and demand components, employment andwages, money and prices, interest rates and stock prices) between 1960:I1998:IVfor the G7 countries. The country-specific approach shows regularity in terms ofco-movements and periodicity with respect to the GDP, in most of the series. Inparticular, consumption and investment among the aggregate demandcomponents, employment and productivity, and, to a lesser degree, the consumersand GDP price indexes, their inflation rates and the stock market index, are stableacross countries, while the exogenous component of the national income series,the monetary variables, the interest rates and the nominal wage level are not.Moreover, we propose a cycle-specific approach which aims at testing if GDP-comovementsin aggregate time series are robust i.e. If they are common to variouscountries within each single cyclical episode. As regards the cycle-specificapproach, the analysis of pairwise correlation coefficients within individualcyclical episodes shows that the real and labour market variable co-movementswith GDP are stable across cycles for each country, while policy, wage and price variables are not. Both UK and US, whose wages and prices co-movements withGDP variables are stable across cycles, are an exception among the G7. Since ourfindings show that prices, interest rates and the costs of the factors do not behaveuniformly across cycles and group of countries, a more cautious approach to theanalysis of the business cycle should be taken. In particular, the results emergingfrom the cycle-specific approach may have important policy implications: first,if business cycles are not all alike policymakers reaction functions should be,at least, cycle-specific, and second, looking at UK and US exceptions, they shouldbe even country-specific. 2003 artículo científico 0185-1667 https://www.redalyc.org/articulo.oa?id=60124602 en http://www.redalyc.org/revista.oa?id=601 Investigación Económica application/pdf Universidad Nacional Autónoma de México Investigación Económica (México) Num.246 Vol.LXII |
| format | Artículo científico |
| id | redalyc_60124602 |
| institution | Redalyc |
| language | en |
| publishDate | 2003 |
| publisher | Universidad Nacional Autónoma de México |
| spellingShingle | A Cycle-Specific Approach to Business Cycles: Empirical Evidence from the G7 Marco Gallegati Economía y Finanzas A Cycle-Specific Approach to Business Cycles: Empirical Evidence from the G7 Marco Gallegati Mauro Gallegati Economía y Finanzas The goal of the paper consists in investigating if co-movements in some selectedtime series are common to various countries and cyclical phases. To do so, weuse 18 economic time series (GDP and demand components, employment andwages, money and prices, interest rates and stock prices) between 1960:I1998:IVfor the G7 countries. The country-specific approach shows regularity in terms ofco-movements and periodicity with respect to the GDP, in most of the series. Inparticular, consumption and investment among the aggregate demandcomponents, employment and productivity, and, to a lesser degree, the consumersand GDP price indexes, their inflation rates and the stock market index, are stableacross countries, while the exogenous component of the national income series,the monetary variables, the interest rates and the nominal wage level are not.Moreover, we propose a cycle-specific approach which aims at testing if GDP-comovementsin aggregate time series are robust i.e. If they are common to variouscountries within each single cyclical episode. As regards the cycle-specificapproach, the analysis of pairwise correlation coefficients within individualcyclical episodes shows that the real and labour market variable co-movementswith GDP are stable across cycles for each country, while policy, wage and price variables are not. Both UK and US, whose wages and prices co-movements withGDP variables are stable across cycles, are an exception among the G7. Since ourfindings show that prices, interest rates and the costs of the factors do not behaveuniformly across cycles and group of countries, a more cautious approach to theanalysis of the business cycle should be taken. In particular, the results emergingfrom the cycle-specific approach may have important policy implications: first,if business cycles are not all alike policymakers reaction functions should be,at least, cycle-specific, and second, looking at UK and US exceptions, they shouldbe even country-specific. 2003 artículo científico 0185-1667 https://www.redalyc.org/articulo.oa?id=60124602 en http://www.redalyc.org/revista.oa?id=601 Investigación Económica application/pdf Universidad Nacional Autónoma de México Investigación Económica (México) Num.246 Vol.LXII |
| title | A Cycle-Specific Approach to Business Cycles: Empirical Evidence from the G7 |
| topic | Economía y Finanzas |
| url | https://www.redalyc.org/articulo.oa?id=60124602 |