The Identification of the Causes of Business Cycles Across Countries

ByDon E. Schlagenhauf, Stefan C. Norrbin

January 1, 1990

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

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:
https://doi.org/10.5089/9781451930085.001
Issue:
004
Series:
Working Paper No. 1990/004
Stock No:
WPIEA0041990
ISBN:
9781451930085
ISSN:
1018-5941

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