DP4534 Similarities and Convergence in G7 Cycles

Author(s): Fabio Canova , Matteo Ciccarelli , Eva Ortega

Publication Date: September 2004

Keyword(s): business cycle , G7 , indicators , panel data , Bayesian methods

JEL(s): C11 , E32

Programme Areas: International Macroeconomics

Link to this Page: www.cepr.org/pubs/dps/DP4534.asp

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.