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International Business Cycle Coherence and Phases- A spectral analysis of output fluctuations of G7 economies

Author

Listed:
  • Peijie Wang

    (IESEG School of Management)

Abstract

This paper examines international linkages of co-movements in output fluctuations amongst G7 economies in the frequency domain. The paper has identified patterns in international business cycle co-movements among the G7, offering a general outlook of international business cycle co-movements and detailing the lower frequency, higher frequency and middle range characteristics of international linkages of output fluctuations. The main findings of the study are that co-movements among G7 economies are considerably stronger at lower frequencies, with clearer patterns of linkages of international output fluctuations, than those at higher frequencies and in middle ranges. The results and findings show support for real business cycle theory being extended to an international arena, with long effect real shocks impacting economies across borders.

Suggested Citation

  • Peijie Wang, 2008. "International Business Cycle Coherence and Phases- A spectral analysis of output fluctuations of G7 economies," Working Papers 2008-FIN-01, IESEG School of Management.
    • Handle: RePEc:ies:wpaper:f200801
    as

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    References listed on IDEAS

    as
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    5. Watson, Mark W., 1986. "Univariate detrending methods with stochastic trends," Journal of Monetary Economics, Elsevier, vol. 18(1), pages 49-75, July.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    business cycles; frequency domain; coherence; phase;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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