Is there really a Global Business Cycle? A Dynamic Factor Model with Stochastic Factor Selection

Arbeitspapier

We investigate the presence of international business cycles in macroeconomic aggregates (output, consumption, investment) using a panel of 60 countries over the period 1961 - 2014. The paper presents a Bayesian stochastic factor selection approach for dynamic factor models with predetermined factors. The literature has so far ignored model uncertainty in these models as common factors (i.e., global, regional or otherwise) are typically imposed but not tested for. We focus in particular on the existence of a global business cycle as the literature has, in our opinion unjustifiably, taken for granted its existence. In contrast to the literature, we find no evidence to support its presence.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Tinbergen Institute Discussion Paper ; No. 16-088/VI

Classification and Topics

• Classification: Wirtschaft ; Model Evaluation, Validation, and Selection ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; International Business Cycles
• Subject: Global business cycle ; dynamic factor model ; Bayesian ; model selection

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Berger, Tino ; Pozzi, Lorenzo
• Event: Veröffentlichung
• (who): Tinbergen Institute
• (where): Amsterdam and Rotterdam
• (when): 2016

Further information

• Handle: http://hdl.handle.net/10419/149492
• Last update: 10.03.2025, 11:42 AM CET