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Disaggregating the international business cycle

Author

Listed:
  • Gilhooly, Robert

    (Monetary Policy Committee Unit, Bank of England)

  • Weale, Martin

    (Monetary Policy Committee Unit, Bank of England)

  • Wieladek, Tomasz

    (Monetary Policy Committee Unit, Bank of England)

Abstract

This paper investigates the international business cycle with new sector level data on hours and output for Canada, Germany, France, Italy, the United Kingdom and the United States from 1992 Q1 to 2011 Q3. We estimate a Bayesian dynamic common factor model on this disaggregate data to decompose the quarterly growth rates of output, hours worked and labour productivity into contributions from global, country, sector and idiosyncratic factors. During the ‘Great Recession’ our results suggest that the global factor became the most important determinant of output, hours and labour productivity growth. Before the ‘Great Recession’, on the other hand, the global factor was not very important; country and idiosyncratic factors were the dominant influences on output, hours and productivity; sector factors never matter very much.

Suggested Citation

  • Gilhooly, Robert & Weale, Martin & Wieladek, Tomasz, 2012. "Disaggregating the international business cycle," Discussion Papers 37, Monetary Policy Committee Unit, Bank of England.
    • Handle: RePEc:mpc:wpaper:0037
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    References listed on IDEAS

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    More about this item

    Keywords

    Labour productivity; international business cycles; dynamic common factor model;
    All these keywords.

    JEL classification:

    • F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles

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