How to order
IMF Publications

Working Papers in full text
2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 1999 1998 1997 All


Other research-related activities and publications of the IMF can be found at IMF Research

Free Email Notification

Receive emails when we post new items of interest to you.

Subscribe or Modify your profile



Globalization, the Business Cycle, and Macroeconomic Monitoring

Author/Editor: Aruoba, S. Boragan | Diebold, Francis X. | Kose, M. Ayhan | Terrones, Marco
Authorized for Distribution: February 1, 2011
Electronic Access: Free Full Text (PDF file size is 1,078KB)
Use the free Adobe Acrobat Reader to view this PDF file.
 
Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate.

Summary: We propose and implement a framework for characterizing and monitoring the global business cycle. Our framework utilizes high-frequency data, allows us to account for a potentially large amount of missing observations, and is designed to facilitate the updating of global activity estimates as data are released and revisions become available. We apply the framework to the G-7 countries and study various aspects of national and global business cycles, obtaining three main results. First, our measure of the global business cycle, the common G-7 real activity factor, explains a significant amount of cross-country variation and tracks the major global cyclical events of the past forty years. Second, the common G-7 factor and the idiosyncratic country factors play different roles at different times in shaping national economic activity. Finally, the degree of G-7 business cycle synchronization among country factors has changed over time.
 
Order a print copy
Series: Working Paper No. 11/25
Subject(s): Business cycles | Cross country analysis | Globalization | Group of seven
Author's keyword(s): Expansion | Contraction | Recession | Turning Point | Dynamic factor model | Nowcasting | Real-time analysis
 
English  
    Published:   February 1, 2011        
            Format:   Paper
    Stock No:   WPIEA2011025   Pages:   52
    Price:   US$18.00 (Academic Rate: US$18.00 )
       
     
Please address any questions about this title to publications@imf.org.