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International Business Cycles: World, Region, and Country-Specific Factors (1999)
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@MISC{Kose99internationalbusiness,
author = {M. Ayhan Kose and Christopher Otrok and Charles H. Whiteman},
title = {International Business Cycles: World, Region, and Country-Specific Factors},
year = {1999}
}
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Abstract
: The paper investigates the common dynamic properties of business cycle fluctuations across countries, regions and the world. We employ a Bayesian dynamic latent factor model to estimate common components in main macroeconomic aggregates (output, consumption and investment) in a sixty-country sample covering seven regions of the world. In particular, we simultaneously estimate (i) a dynamic factor common to all aggregates/regions/countries (the world factor); (ii) a set of 7 regional dynamic factors common across aggregates within a region; (iii) 60 country factors to capture dynamic comovement across aggregates within each country; (iv) and a component for each aggregate that captures idiosyncratic dynamics. We decompose the volatility in each aggregate into the fraction due to the world, region, country, and idiosyncratic components. The results indicate that the world factor is an important source of volatility for aggregates in most countries, providing evidence for a world busine...
Keyphrases
international business cycle country-specific factor world factor dynamic comovement idiosyncratic dynamic regional dynamic factor aggregate region country bayesian dynamic latent factor model world busine important source sixty-country sample country factor common component common dynamic property business cycle fluctuation main macroeconomic aggregate dynamic factor idiosyncratic component
