Globalization, the Business Cycle, and Macroeconomic Monitoring / S. Boragan Aruoba, Francis X. Diebold, M. Ayhan Kose, Marco E. Terrones.

Format:

Book

Author/Creator:

Aruoba, S. Boragan.

Contributor:

Diebold, Francis X.

Kose, M. Ayhan.

Terrones, Marco E.

National Bureau of Economic Research.

Series:

Working Paper Series (National Bureau of Economic Research) no. w16264.

NBER working paper series no. w16264

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2010.

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:

Print version record

August 2010.