Arbeitspapier
A new approach to infer changes in the synchronization of business cycle phases
This paper proposes a Markov-switching framework to endogenously identify the following: (1) regimes where economies synchronously enter recessionary and expansionary phases; and (2) regimes where economies are unsynchronized, essentially following independent business cycles. The reliability of the framework to track changes in synchronization is corroborated with Monte Carlo experiments. An application to the case of U.S. states reports substantial changes over time in the cyclical affiliation patterns of states. Moreover, a network analysis discloses a change in the propagation pattern of aggregate contractionary shocks across states, suggesting that regional economies in the United States have become more interdependent since the early 1990s.
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Canada Working Paper ; No. 2014-38
- Klassifikation
-
Wirtschaft
Business Fluctuations; Cycles
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Neural Networks and Related Topics
- Thema
-
Business fluctuations and cycles
Econometric and statistical methods
Regional economic developments
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Leiva-Leon, Danilo
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Canada
- (wo)
-
Ottawa
- (wann)
-
2014
- DOI
-
doi:10.34989/swp-2014-38
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Leiva-Leon, Danilo
- Bank of Canada
Entstanden
- 2014
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