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Globalization, the Business Cycle, and Macroeconomic Monitoring [electronic resource] Aruoba, S. Boragan.

Author/Creator:
Aruoba, S. Boragan.
Publication:
Washington, D.C. : International Monetary Fund, 2011.
Series:
IMF eLibrary
IMF Working Papers; Working Paper No. 11/25.
IMF Working Papers; Working Paper No. 11/25
Format/Description:
Government document
Book
1 online resource (52 p.)
Local subjects:
Business cycle.
Business cycle dynamics.
Business cycle fluctuations.
Business cycle synchronization.
Business cycles.
Correlation.
Correlations.
Covariance.
Cross-country variation.
Econometrics.
Economic growth.
Equation.
Equations.
Forecasting.
Gross domestic product.
Group of seven.
Growth rate.
Growth rate of output.
Growth rates.
Integral.
Linear restriction.
Measurement error.
Missing data.
Missing observations.
National income.
Outliers.
Polynomials.
Prediction.
Predictions.
Prices.
Probability.
Probability model.
Properties of business cycles.
Sample size.
Standard deviation.
Standard deviations.
State space methods.
Statistical significance.
Statistics.
Survey.
Surveys.
Time series.
Time series analysis.
Canada.
France.
Germany.
Japan.
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.
Notes:
Description based on print version record.
Contributor:
Aruoba, S. Boragan.
Diebold, Francis X.
Kose, M. Ayhan.
Terrones, Marco.
Other format:
Print Version:
ISBN:
1455216720:
9781455216727
ISSN:
1018-5941
Publisher Number:
10.5089/9781455216727.001
Access Restriction:
Restricted for use by site license.
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