Measuring World Business Cycles

Gregory, Allan W.; Head, Allen; Raynauld, Jacques

doi:10.2307/2527287

Cited by 190 publications

(129 citation statements)

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“…The phenomenon of business cycle comovement has often been explained by using a common factor analysis in which macroeconomic variables such as aggregate output, consumption and investment are decomposed into common observed global shocks (like sharp ‡uctuations of oil prices), common unobserved global shocks (like technological shocks), speci…c regional shocks and country shocks (Gregory et al 1997; Kose, Otrok and Whiteman 2003; Bai and Ng 2004). It is these shocks that lead to a closer real and …nancial interdependence across countries.…”

Section: Introductionmentioning

confidence: 99%

Private Investment and Financial Development in a Globalized World

Huang

2006

SSRN Journal

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Using recently developed panel data techniques on data for 43 developing countries over the period 1970-98, this paper provides an exhaustive analysis of causality between aggregate private investment and …nancial development. GMM estimation on averaged data, and a common factor approach on annual data allowing for global interdependence and heterogeneity across countries suggest positive causal effects going in both directions. The …nding has rich implications for the development of …nancial markets and the conduct of macroeconomic policies in developing countries in an integrated global economy.

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Section: Introductionmentioning

confidence: 99%

Private Investment and Financial Development in a Globalized World

Huang

2006

SSRN Journal

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“…18 For a similar approach to modeling the world business cycle and a comparison between estimations in terms of levels or growth rates, see Gregory et al (1994). 19 We are very grateful to Jacques Raynauld who generously provided us with the GAUSS code to run the algorithm, and to René Garcia who pointed out that the Raynauld-Simonato-Sigouin code would be useful to us.…”

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confidence: 99%

Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs?

2002

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In an integrated world capital market, the same pricing kernel is applicable to all securities. We apply this idea to the stock returns of different countries. We investigate the underlying determinants of cross-country stock return correlations. First, we determine, for a given, measured degree of commonality of country outputs, what should be the degree of correlation of national stock returns. We propose a framework that contains a statistical model for output and an intertemporal financial market model for stock returns. We then attempt to match the correlations generated by the model with measured correlations. Our results show that under the hypothesis of market segmentation, the model correlations are much smaller than observed correlations. However, assuming world markets are integrated, our model correlations closely match observed correlations. * Dumas and Ruiz acknowledge gratefully the support of the HEC Foundation. Ruiz acknowledges also gratefully the support of IFM 2 . Dumas is also affiliated with the University of Pennsylvania (as an Adjunct Professor), the NBER and the CEPR. Harvey is also affiliated with the NBER. The comments of Enrique Arzac,

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“…Regarding the third approach-many variables and many cross sections- Gregory, Head and Raynauld (1997) use a dynamic factor model estimated with classical methods to decompose aggregate output, consumption, and investment for the G-7 countries into factors that are common across all countries and aggregates, common across aggregates within a country, and specific to each individual aggregate. Data have to be de-trended to use the dynamic factor models approach because the underlying factors are assumed to be stationary.…”

Section: Many Variables and Many Economic Unitsmentioning

confidence: 99%

GDP Trend-cycle Decompositions Using State-level Data

González‐Astudillo

2017

FEDS

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This paper develops a method for decomposing GDP into trend and cycle exploiting the cross-sectional variation of state-level real GDP and unemployment rate data. The model assumes that there are common output and unemployment rate trend and cycle components, and that each state's output and unemployment rate are subject to idiosyncratic trend and cycle perturbations. The model is estimated with Bayesian methods using quarterly data from 2005:Q1 to 2016:Q1 for the 50 states and the District of Columbia. Results show that the U.S. output gap reached about -8% during the Great Recession and is about 0.6% in 2016:Q1.

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Measuring World Business Cycles

Cited by 190 publications

References 0 publications

Private Investment and Financial Development in a Globalized World

Private Investment and Financial Development in a Globalized World

Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs?

GDP Trend-cycle Decompositions Using State-level Data

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