Output Dynamics Of The G7 Countries - Stochastic Trends And Cyclical Movements
University of Osnabrueck - Department of Economics; CESifo (Center for Economic Studies and Ifo Institute); CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute
City University of Hong Kong - Department of Economics & Finance; University of California at Santa Cruz - Department of Economics
CESifo Working Paper Series No. 220
Using a time series framework, the paper studies the interactions of the annual real per capita GDP data of the G7 countries. We find evidence of six common nonstationary processes behind the international output dynamics. In addition, there is evidence for the existence of a common business cycle among these countries. The trend and cycle components of each output series are obtained with a procedure that accounts for the presence of both the common nonstationary and cyclical factors. It is found that the relative variability and the correlation of the trend and cycle components are not similar across the G7 countries.
Number of Pages in PDF File: 18
JEL Classification: C32, E32, O49working papers series
Date posted: June 16, 2001
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