Paper #924

Title:

Similarities and convergence in G-7 cycles

Authors:

Fabio Canova, Matteo Ciccarelli and Eva Ortega

Date:

February 2003 (Revised: August 2004)

Abstract:

This paper examines the properties of G-7 cycles using a multicountry Bayesian panel VAR model with time variations, unit specific dynamics and cross country interdependences. We demonstrate the presence of a significant world cycle and show that country specific indicators play a much smaller role. We detect differences across business cycle phases but, apart from an increase in synchronicity in the late 1990s, find little evidence of major structural changes. We also find no evidence of the existence of an Euro area specific cycle or of its emergence in the 1990s.

Keywords:

Business cycle, G7, indicators, Panel Data, Bayesian methods

JEL codes:

C11, E32

Area of Research:

Macroeconomics and International Economics

Published in:

Journal of Monetary Economics, 54(3), 2007, 850-878

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