Article ID Journal Published Year Pages File Type
968021 Journal of Monetary Economics 2007 29 Pages PDF
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 a Euro specific cycle or of its emergence in the late 1990s.

Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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