Arbeitspapier

Global vs. group-specific business cycles: The importance of defining the groups

The literature on international business cycles has employed dynamic factor models to disentangle global from group-specific and national factors in countries' macroeconomic aggregates. Therefore, the countries have simply been classified ex ante as belonging to the same region or the same level of development. This paper estimates a DFM for a sample of 106 countries and three variables (output, consumption, investment) over the period 1960 to 2014, in which the countries are classified according to the outcome of a cluster analysis. By comparing the results with those obtained by the previous grouping approaches, we show substantial deviations in the importance of global and group-specific factors. Remarkably, when the groups are defined properly, the 'global business cycle' accounts for only a very small fraction of macroeconomic fluctuations, most evidently in the industrialized world. The group-specific factors, on the other hand, play a much greater role for national business cycles than previously thought - also in the pre-globalization period.

Language: Englisch

Bibliographic citation: Series: cege Discussion Papers ; No. 334

Classification: Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Multiple or Simultaneous Equation Models: Classification Methods; Cluster Analysis; Principal Components; Factor Models
Business Fluctuations; Cycles
International Business Cycles

Subject: international business cycles
globalization
regionalization
dynamic factormodels
cluster analysis

Event: Geistige Schöpfung

(who): Berger, Tino
Wortmann, Marcus

Event: Veröffentlichung

(who): University of Göttingen, Center for European, Governance and Economic Development Research (cege)

(where): Göttingen

(when): 2018

Handle: http://hdl.handle.net/10419/173281

Last update: 10.03.2025, 11:41 AM CET

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Arbeitspapier

Associated

Berger, Tino
Wortmann, Marcus
University of Göttingen, Center for European, Governance and Economic Development Research (cege)

Time of origin

2018

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Global vs. group-specific business cycles: The importance of defining the groups

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Other Objects (12)

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