International Business Cycle Accounting

Book, Research, Preprint OPEN
Keisuke Otsu (2009)
  • Publisher: Canterbury: University of Kent, School of Economics
  • Subject: financial globalization | Business Cycle Accounting, International Business Cycles | F41 | business cycle accounting | E32 | international business cycles | HB
    • jel: jel:E32 | jel:F41
      ddc: ddc:330

In this paper, I extend the business cycle accounting method a la Chari, Kehoe and McGrattan (2007) to a two-country international business cycle model and quantify the effect of the disturbances in relevant markets on the business cycle correlation between Japan and the US over the 1980-2008 period. This paper finds that disturbances in the labor market and production efficiency are important in accounting for the recent increase in the cross-country output correlation. If international financial market integration is important for considering the recent increase in cross-country output correlation, it must operate through an increase in the cross-country correlation of disturbances in the labor market and production efficiency, and not in the domestic investment market.
  • References (2)

    [29] Wεν, Ψ., 2007, Βψ φορχε οφ δεmανδ: Εξπλαινινγ ιντερνατιοναλ χοmοϖε− mεντσ, ϑουρναλ οφ Εχονοmιχ Dψναmιχσ ανδ Χοντρολ, 31 (1), ππ.1–23.

    [30] Ψαηκιν, Ψ., 2007, Σταγγερεδ Wαγεσ, Φινανχιαλ Φριχτιονσ, ανδ τηε Ιντερ− νατιοναλ Χοmοϖεmεντ Προβλεm, Ρεϖιεω οφ Εχονοmιχ Dψναmιχσ, 10 (1), ππ.148–171. Ταβλε 6. Σιmυλατιον Ρεσυλτσ Χροσσ−Χουντρψ Χορρελατιον οφ Σιmυλατεδ Ουτπυτ ωιτηουτ γϑΠ ; γΥΣ λϑΠ ; λΥΣ ϑξΠ ; ξΥΣ ζϑΠ ; ζΥΣ π& 0.08 −0.12 −0.26 −0.12 −0.32 0.11 0.05 −0.21 −0.28 −0.45 −0.33 −0.36 −0.64 −0.38 −0.58 0.72 −0.12 0.43 0.22 0.48

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