International business cycles: What are the facts? |
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Authors: | Steve Ambler Emanuela Cardia |
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Institution: | a Centre Interuniversitaire de Recherche sur les Politiques Économiques et L'emploi (CIRPEE), Université du Québec à Montréal, Case Postale, 8888, Succursale Centre-Ville, Montréal QC, H3C 3P8, Canada b Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ) and Département de Sciences Économiques, Université de Montréal, Montréal QC, Canada c Department of Economics, University of Connecticut, Storrs, CT 06269, USA and Centre Interuniversitaire de Recherche sur les Politiques Économiques et L'emploi (CIRPEE), Université du Québec à Montréal, C.P. 8888, Succ. Centre-ville, Montréal QC, H3C 3P8, Canada |
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Abstract: | Modern business cycle theory involves developing models that explain stylized facts. For this strategy to be successful, these facts should be well established. In this paper, we focus on the stylized facts of international business cycles. We use the generalized method of moments and quarterly data from twenty industrialized countries to estimate and test hypotheses concerning pairwise cross-country correlations of macroeconomic aggregates. A remarkable common feature emerges: these correlations are mostly positive, not very high and of a similar order of magnitude. The most important discrepancy with the theory is the low cross-country correlation of consumption. |
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Keywords: | E32 F41 |
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