The Identification of the Causes of Business Cycles Across Countries
January 1, 1990
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Summary
Empirical research has been conducted on the various theories of the business cycle over many countries. However, very little research has attempted to undertake a multi-country disaggregate investigation into the sources of output change. This paper decomposes fluctuations in industry output in a particular country into: (1) a nation specific shock; (2) an industry specific shock; (3) a world shock; and (4) an idiosyncratic factor. Using a dynamic factor analysis-state-space approach, the paper finds that the nation-specific shock is the most important impulse.
Subject: Business cycles, Economic growth, Exchange rate arrangements, Foreign exchange, Industrial production, Monetary base, Money, Oil prices, Prices, Production
Keywords: business cycle, Business cycles, demand management policy, dummy variable, Exchange rate arrangements, factor equation, fiscal policy, Global, Industrial production, matrix Wn, Monetary base, nation-specific factor, Oil prices, output change, time series, time series model, WP
Pages:
26
Volume:
1990
DOI:
Issue:
004
Series:
Working Paper No. 1990/004
Stock No:
WPIEA0041990
ISBN:
9781451930085
ISSN:
1018-5941
