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Similarities and convergence in G-7 cycles

Author

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  • Canova, Fabio
  • Ciccarelli, Matteo
  • Ortega, Eva

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. JEL Classification: C11, C33, E32

Suggested Citation

  • Canova, Fabio & Ciccarelli, Matteo & Ortega, Eva, 2004. "Similarities and convergence in G-7 cycles," Working Paper Series 312, European Central Bank.
    • Handle: RePEc:ecb:ecbwps:2004312
    Note: 224580
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    More about this item

    Keywords

    Bayesian methods; business cycle; indicators; Panel data;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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