Measuring the Dynamics of Global Business Cycle Connectedness

30 Pages Posted: 19 Dec 2013 Last revised: 23 Dec 2013

See all articles by Francis X. Diebold

Francis X. Diebold

University of Pennsylvania - Department of Economics; National Bureau of Economic Research (NBER)

Kamil Yilmaz

Koc University

Date Written: December 17, 2013

Abstract

Using a connectedness-measurement technology fundamentally grounded in modern network theory, we measure real output connectedness for a set of six developed countries, 1962-2010. We show that global connectedness is sizable and time-varying over the business cycle, and we study the nature of the time variation relative to the ongoing discussion about the changing nature of the global business cycle. We also show that connectedness corresponding to transmissions to others from the United States and Japan is disproportionately important.

Keywords: Synchronization, coupling, de-coupling, network, G-7, real activity, industrial production, globalization

JEL Classification: E01, F42, F44

Suggested Citation

Diebold, Francis X. and Yilmaz, Kamil, Measuring the Dynamics of Global Business Cycle Connectedness (December 17, 2013). PIER Working Paper No. 13-070, Available at SSRN: https://ssrn.com/abstract=2369340 or http://dx.doi.org/10.2139/ssrn.2369340

Francis X. Diebold (Contact Author)

University of Pennsylvania - Department of Economics ( email )

Ronald O. Perelman Center for Political Science
133 South 36th Street
Philadelphia, PA 19104-6297
United States
215-898-1507 (Phone)
215-573-4217 (Fax)

HOME PAGE: http://www.ssc.upenn.edu/~fdiebold/

National Bureau of Economic Research (NBER)

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Cambridge, MA 02138
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Kamil Yilmaz

Koc University ( email )

Rumeli Feneri Yolu
Sariyer
Istanbul, 34450
Turkey
+90 212 338 1458 (Phone)
+90 212 338 1653 (Fax)

HOME PAGE: http://https://sites.google.com/view/kamilyilmaz/

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