Similarities and Convergence in G-7 Cycles

47 Pages Posted: 18 May 2004

See all articles by Fabio Canova

Fabio Canova

BI Norwegian Business School

Eva Ortega

Bank of Spain, DG Economics, Statistics and Research

Matteo Ciccarelli

European Central Bank (ECB)

Multiple version iconThere are 2 versions of this paper

Date Written: February 2004

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.

Keywords: Business cycle, indicators, Panel Data, Bayesian methods

JEL Classification: C11, C33, E32

Suggested Citation

Canova, Fabio and Ortega, Eva and Ciccarelli, Matteo, Similarities and Convergence in G-7 Cycles (February 2004). ECB Working Paper No. 312, Available at SSRN: https://ssrn.com/abstract=515075 or http://dx.doi.org/10.2139/ssrn.515075

Fabio Canova (Contact Author)

BI Norwegian Business School ( email )

Nydalsveien 37
Oslo, 0442
Norway

Eva Ortega

Bank of Spain, DG Economics, Statistics and Research ( email )

Alcala 50
Madrid, 28014
Spain

HOME PAGE: http://https://www.bde.es/investigador/en/menu/people/research_staff_a/Ortega_Eslava__Eva.html

Matteo Ciccarelli

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany