DP4534 Similarities and Convergence in G7 Cycles

Author(s): Fabio Canova, Matteo Ciccarelli, Eva Ortega
Publication Date: September 2004
Keyword(s): Bayesian methods, business cycle, G7, indicators, panel data
JEL(s): C11, E32
Programme Areas: International Macroeconomics
Link to this Page: cepr.org/active/publications/discussion_papers/dp.php?dpno=4534

This Paper examines the properties of G-7 cycles using a multicountry Bayesian panel VAR model with time variations, unit specific dynamics and cross country interdependences. We demonstrate the presence of a significant world cycle and show that country specific indicators play a much smaller role. We detect differences across business cycle phases but, apart from an increase in synchronicity in the late 1990s, find little evidence of major structural changes. We also find no evidence of the existence of a euro area specific cycle or of its emergence in the 1990s.