Abstract

http://ssrn.com/abstract=1755442
 
 

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Globalization, the Business Cycle, and Macroeconomic Monitoring


M. Ayhan Kose


International Monetary Fund (IMF)

S. Boragan Aruoba


University of Maryland - Department of Economics

Marco E. Terrones


International Monetary Fund (IMF)

Francis X. Diebold


University of Pennsylvania - Department of Economics; National Bureau of Economic Research (NBER)

February 2011

IMF Working Paper No. 11/25

Abstract:     
We propose and implement a framework for characterizing and monitoring the global business cycle. Our framework utilizes high-frequency data, allows us to account for a potentially large amount of missing observations, and is designed to facilitate the updating of global activity estimates as data are released and revisions become available. We apply the framework to the G-7 countries and study various aspects of national and global business cycles, obtaining three main results. First, our measure of the global business cycle, the common G-7 real activity factor, explains a significant amount of cross-country variation and tracks the major global cyclical events of the past forty years. Second, the common G-7 factor and the idiosyncratic country factors play different roles at different times in shaping national economic activity. Finally, the degree of G-7 business cycle synchronization among country factors has changed over time.

Number of Pages in PDF File: 53

Keywords: Business cycles, Cross country analysis, Globalization, Group of seven

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Date posted: February 7, 2011  

Suggested Citation

Kose, M. Ayhan and Aruoba, S. Boragan and Terrones, Marco E. and Diebold, Francis X., Globalization, the Business Cycle, and Macroeconomic Monitoring (February 2011). IMF Working Papers, Vol. , pp. 1-52, 2011. Available at SSRN: http://ssrn.com/abstract=1755442

Contact Information

M. Ayhan Kose
International Monetary Fund (IMF) ( email )
700 19th Street, N.W.
Washington, DC 20431
United States
202-623-7000 (Phone)
202-623-4661 (Fax)
HOME PAGE: http://ideas.repec.org/e/pko65.html
S. Boragan Aruoba (Contact Author)
University of Maryland - Department of Economics ( email )
College Park, MD 20742
United States
301-405-3508 (Phone)
301-405-3542 (Fax)
Marco E. Terrones
International Monetary Fund (IMF) ( email )
700 19th Street NW
Washington, DC 20431
United States
202-623-4329 (Phone)
HOME PAGE: http://imf.org/external/np/CV/AuthorCV.aspx?AuthID=171
Francis X. Diebold
University of Pennsylvania - Department of Economics ( email )
3718 Locust Walk
Philadelphia, PA 19104
United States
215-898-1507 (Phone)
215-573-4217 (Fax)
HOME PAGE: http://www.ssc.upenn.edu/~fdiebold/
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
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