Output Dynamics of the G7 Countries - Stochastic Trends and Cyclical Movements

CESifo Working Paper Series No. 220

18 Pages Posted: 16 Jun 2001

See all articles by Frank Westermann

Frank Westermann

University of Osnabrueck - Department of Economics; CESifo (Center for Economic Studies and Ifo Institute); CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute

Yin-Wong Cheung

City University of Hong Kong - Department of Economics & Finance; University of California, Santa Cruz - Department of Economics; University of California at Santa Cruz - Department of Economics

Date Written: December 1999

Abstract

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.

JEL Classification: C32, E32, O49

Suggested Citation

Westermann, Frank and Cheung, Yin-Wong, Output Dynamics of the G7 Countries - Stochastic Trends and Cyclical Movements (December 1999). CESifo Working Paper Series No. 220. Available at SSRN: https://ssrn.com/abstract=269464

Frank Westermann (Contact Author)

University of Osnabrueck - Department of Economics ( email )

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CESifo (Center for Economic Studies and Ifo Institute)

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CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute ( email )

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Yin-Wong Cheung

City University of Hong Kong - Department of Economics & Finance ( email )

83 Tat Chee Avenue
Kowloon
Hong Kong

University of California, Santa Cruz - Department of Economics ( email )

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Santa Cruz, CA 95064
United States
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831-459-5077 (Fax)

University of California at Santa Cruz - Department of Economics ( email )

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United States

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