Cyclical Properties in the Main Western Economies

This paper analyses the cyclical properties in the main western economies (G-7 countries, Spain and Switzerland). Using the contemporary or maximum cross-correlation with the GDP could mask or find similarities among countries when they do not exist, we focus on the structure of a wide set of cross-correlations. The results show a great similarity in the cyclical behaviour of the variables, showing common business cycle phenomena among the analysed countries. The highest differences were found in the behaviour of the monetary variables and in the real wage, what seems to indicate a different role of the monetary policy and differences in the national labour markets. Additionally, we use three alternative filter methods (HP, BK and First Difference), and in contrast to the work of Canova (1998), the results do not change, at least qualitatively, with the filter method. Moreover, we study the temporal stability of the cyclical facts. This analysis shows that in general the relationship of the different variables with the GDP cycle is fundamentally stable over time, while volatilities are not so stable, indicating that the same economic mechanisms are present in periods of high and low volatility.