International business cycles: Detection and properties

Graff, Michael (2008). International business cycles: Detection and properties. In: Proceedings of: AMW 2008: 13th Australasian Macroeconomics Workshop: Program. 13th Australasian Macroeconomics Workshop, Sydney, Australia, (1-30). 26 - 27 March, 2008.

Author Graff, Michael
Title of paper International business cycles: Detection and properties
Conference name 13th Australasian Macroeconomics Workshop
Conference location Sydney, Australia
Conference dates 26 - 27 March, 2008
Convener David Kim
Proceedings title Proceedings of: AMW 2008: 13th Australasian Macroeconomics Workshop: Program
Place of Publication Sydney, Australia
Publisher Faculty of Economics & Business University of Sydney
Publication Year 2008
Sub-type Fully published paper
Start page 1
End page 30
Total pages 30
Language eng
Abstract/Summary After conceptual clarification of "international business cycle" and a review of the literature, a new indicator is proposed. This indicator refers to two time series only and allows for an interna-tionally comparable quantification of a country's position in the business cycle. We then calculate times series of this indicator from 1970 to 2000 for 30 countries. After some plausibility checks, we refer to these series to test a number of hypotheses. Cross correlations reveal a high degree of interconnectedness. Moreover, the number of highly positive correlations increased over time, whereas the number of low and moderate correlations decreased. A principal component analysis yields a first component that can be interpreted as the world business cycle. The further compo-nents suggest a Scandinavian/Anglo-Saxon business cycle as well as another, smaller group of Anglo-Saxon countries that move together. This finding is replicated by a hierarchical cluster analysis, which in addition suggests a closely integrated group of non-Scandinavian and non-English speaking European countries plus Japan and Israel. Furthermore, there is indication for some, albeit weak business cycle integration in Southeast Asia and in South America. The inter-national business cycle is thus found to have a hierarchical structure.
Subjects 14 Economics
1402 Applied Economics
140210 International Economics and International Finance
Keyword Capacity utilisation
Cluster analysis
Cross correlation analysis
International business cycles
Principal component analysis
Q-Index Code EX
Q-Index Status Provisional Code

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Created: Wed, 24 Feb 2010, 09:42:46 EST by Ms May Balasaize on behalf of Faculty of Business, Economics & Law