04228nam 2200625Ia 450 991046399660332120170817212601.01-4623-3965-41-4527-8339-X1-4518-7001-997866128409441-282-84094-0(CKB)3170000000054998(EBL)1607835(SSID)ssj0000941188(PQKBManifestationID)11545404(PQKBTitleCode)TC0000941188(PQKBWorkID)10975368(PQKB)11211956(OCoLC)535147026(MiAaPQ)EBC1607835(EXLCZ)99317000000005499820760721d2008 uy 0engur|n|---|||||txtccrGlobal business cycles[electronic resource] convergence or decoupling? /M. Ayhan Kose, Christopher Otrok, and Eswar S. PrasadWashington, D.C. International Monetary Fund20081 online resource (51 p.)IMF working paper ;8/143Description based upon print version of record.1-4519-1454-7 Contents; I. Introduction; II. Methodology and Data; A. A Dynamic Factor Model; B. Advantages of Dynamic Factor Models; C. Variance Decompositions; D. Data; III. Dynamic Factors and Episodes of Business Cycles; A. Evolution of the Global and Group-Specific Factors; B. Country Factors and Domestic Economic Activity; IV. Sources of Business Cycle Fluctuations: 1960-2005; A. Common Cycles: Global and Country-Specific Factors; B. National Cycles: Country and Idiosyncratic Factors; C. Summary; V. Globalization and the Evolution of International Business Cycles; A. Convergence or Decoupling?B. Consumption ComovementC. Dynamics of Investment; D. Summary; VI. Sensitivity Experiments; A. Results for Sub-groups of Countries; B. Changes in the Importance of Global and Group Factors; C. Implications of Crises; D. Alternative Breakpoints; VII. Conclusion; References; Appendices; I. A Bayesian Approach to Estimating Dynamic Factor Models; II. Testing for Structural Breaks; III. List of Countries; Tables; 1. Variance Decompositions-All Groups; 2. Variance Decompositions-Industrial Country Subsamples; 3. Variance Decompositions-All Groups4. Variance Decompositions-Industrial Country Subsamples5. Variance Decompositions-Emerging Economy Subsamples; 6. Variance Decompositions-Other Developing Economy Subsamples; Figures; 1. Global and Group-Specific Factors; 2. Output Growth and Estimated Factors for Selected Countries; 3. Average Variance Explained by the Global and Group Factors; 4. Average Variance Explained by Global and Group Factors; 5. Average Variance Explained by Global Factor; 6. Average Variance Explained by Group Specific Factors; 7. Average Variance Explained by Global and Group-Specific Factors-All Countries8. Output Variance Explained by Global Factor9. Output Variance Explained by Group FactorThis paper analyzes the evolution of the degree of global cyclical interdependence over the period 1960-2005. We categorize the 106 countries in our sample into three groups-industrial countries, emerging markets, and other developing economies. Using a dynamic factor model, we then decompose macroeconomic fluctuations in key macroeconomic aggregates-output, consumption, and investment-into different factors. These are: (i) a global factor, which picks up fluctuations that are common across all variables and countries; (ii) three group-specific factors, which capture fluctuations that are commIMF working paper ;8/143.Business cyclesEconometric modelsGlobalizationElectronic books.Business cyclesEconometric models.Globalization.Kose M. Ayhan874352Otrok Christopher970123Prasad Eswar124415MiAaPQMiAaPQMiAaPQBOOK9910463996603321Global business cycles2205097UNINA