Are business cycles all alike? A bandmass filter analysis of Italian and US cycles

Arbeitspapier

In this paper, we perform an empirical comparison of Italian and US business cycles. After filtering the time series of the main macroeconomic variables of the two countries, through an approximate bandpass filter, we analyze the cross-correlations between each filtered variable and the filtered GDP, indicator of the business cycle. We find heterogeneity in business cycle dynamics as regards variables related to the industrial structure (see exports, investment in construction), and to the organization of markets (e.g. stock prices, private consumption), interpreted as effects of local path-dependencies. Cyclical components of prices, labor market variables, and monetary policy indicators are almost invariant across economies, reflecting common international drivers, such as the Federal Reserve Bank monetary policy, and international oil prices.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: LEM Working Paper Series ; No. 2004/25

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Business Fluctuations; Cycles
• Subject: Business Cycles ; Bandpass Filter ; Cross Correlations ; Italian Economy ; Macroeconomics ; Konjunktur ; Zeitreihenanalyse ; Konjunkturzusammenhang ; Italien ; USA

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Napoletano, Mauro ; Roventini, Andrea ; Sapio, Sandro
• Event: Veröffentlichung
• (who): Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM)
• (where): Pisa
• (when): 2005

Further information

• Handle: http://hdl.handle.net/10419/89448
• Last update: 10.03.2025, 11:43 AM CET