scholarly journals Modeling time-variation over the business cycle (1960–2017): an international perspective

2018 ◽  
Vol 22 (5) ◽  
Author(s):  
Enrique Martínez-García
Keyword(s):  
Business Cycles ◽  
Business Cycle ◽  
International Business ◽  
Linear Models ◽  
Trade Openness ◽  
Form Solution ◽  
Reduced Form ◽  
Time Varying ◽  
Time Varying Parameter ◽  
The Business Cycle

AbstractIn this paper, I explore the changes in international business cycles with quarterly data for the eight largest advanced economies (US, UK, Germany, France, Italy, Spain, Japan, and Canada) since the 1960s. Using a time-varying parameter model with stochastic volatility for real GDP growth and inflation allows their dynamics to change over time, approximating nonlinearities in the data that otherwise would not be adequately accounted for with linear models [Granger, Clive W.J., Timo Teräsvirta, and Heather M. Anderson. 1991. “Modeling Nonlinearity over the Business Cycle.”In NBER book Business Cycles, Indicators and Forecasting (1993), edited by James H. Stock and Mark W. Watson, University of Chicago Press.; Granger, Clive W.J. 2008. “Non-Linear Models: Where Do We Go Next – Time Varying Parameter Models?”Studies in Nonlinear Dynamics and Econometrics12 (3): 1–11.]. With that empirical model, I document a period of declining macro volatility since the 1980s, followed by increasing (and diverging) inflation volatility since the mid-1990s. I also find significant shifts in inflation persistence and cyclicality, as well as in macro synchronization and even forecastability. The 2008 global recession appears to have had an impact on some of this. I ground my empirical strategy on the reduced-form solution of the workhorse New Keynesian model and, motivated by theory, explore the relationship between greater trade openness (globalization) and the reported shifts in international business cycle. I show that globalization has sizeable (yet nonlinear) effects in the data consistent with the implications of the model – yet globalization’s contribution is not a foregone conclusion, depending crucially on more than the degree of openness of the international economy.

EXPANSIONS AND RECESSIONS IN THE MEXICAN STATES: A CLASSICAL BUSINESS CYCLES APPROACH

2017 ◽  
Vol 3 (5) ◽  
pp. 32
Author(s):  
Pablo Mejía-Reyes
Keyword(s):  
Business Cycles ◽  
Business Cycle ◽  
Monthly Basis ◽  
Production Index ◽  
Clear Cut ◽  
Output Measure ◽  
Central Regions ◽  
The Business Cycle ◽  
National Business ◽  
Cycle Indicator

This paper aims to document expansions and recessions characteristics for 17 states of Mexico over the period 1993-2006 by using a classical business cycle approach. We use the manufacturing production index for each state as the business cycle indicator since it is the only output measure available on a monthly basis. According to this approach, we analyse asymmetries in mean, volatility and duration as well as synchronisation over the business cycle regimes (expansions and recessions) for each case. Our results indicate that recessions are less persistent and more volatile (in general) than expansions in most Mexican states; yet, there is no clear cut evidence on mean asymmetries. In turn, there seems to be strong links between the business cycle regimes within the Northern and Central regions of the country and between states with similar industrialisation patterns, although it is difficult to claim that a national business cycle exists.

scholarly journals Business cycles and earnings management strategies: a study in Brazilian public firms,

2019 ◽  
Vol 30 (80) ◽  
pp. 216-233 ◽  
Author(s):  
Edilson Paulo ◽  
Renato Henrique Gurgel Mota
Keyword(s):  
Business Cycles ◽  
Business Cycle ◽  
Earnings Management ◽  
Management Strategies ◽  
Accounting Information ◽  
Discretionary Accruals ◽  
Real Earnings Management ◽  
Economic Environment ◽  
Opportunistic Behavior ◽  
The Business Cycle

ABSTRACT This study contributes to the literature dealing with the influence of macroeconomic factors on accounting information quality, since it analyzes the earnings management strategies of firms, specifically identifying different discretionary behaviors among economic cycles: 1) different levels of earnings management through accruals between phases of the business cycle, and 2) the trade-off between earnings management through accruals and real earnings management. The results indicate that the accounting information reported should be analyzed with greater caution by its users, especially in periods of great economic oscillations, when managers can increase or reduce opportunistic behavior. The research population comprised non-financial companies with shares traded on the São Paulo Stock, Commodities, and Futures Exchange (BM&FBovespa) and the sample was composed of 247 firms per year, covering the period from 2000 to 2015 and totaling 2,501 observations. The phases of business cycles were used as a proxy for the economic environment and were based on Schumpeter's (1939) study, which divides an business cycle into four distinct phases: expansion, recession, contraction, and recovery. Discretionary accruals were estimated according to the Pae (2005) and Paulo (2007) models. Real earnings management was estimated as described by Roychowdhury (2006), using only the abnormal behavior of production costs and operational decisions. The results of this research show that earnings management strategies, using either accruals or real manipulation, as well as the choice between these strategies, are impacted by the economic environment. The evidence suggests that managers have different opportunistic behavior in each phase of the business cycle. Specifically, they increase the level of discretionary accruals in contractionary phases and reduce it during recoveries, while they manage earnings downwards via real manipulation in recessions and contractions.

Book Reviews

2014 ◽  
Vol 52 (2) ◽  
pp. 538-540 ◽  
Keyword(s):  
Business Cycles ◽  
Business Cycle ◽  
Early Years ◽  
African Studies ◽  
Intellectual Biography ◽  
The Business Cycle ◽  
The University

Michael Assous of Universite Paris I Pantheon-Sorbonne P.H.A.R.E. reviews “Michal Kalecki: An Intellectual Biography: Volume I, Rendezvous in Cambridge 1899–1939”, by Jan Toporowski. The Econlit abstract of this book begins: “Presents an intellectual biography of Polish economist Michal Kalecki, focusing on the years 1899–1939. Discusses the early years; the crucible of the Polish Revolution; economic journalism; a move to Warsaw; the Institute for the Study of Business Cycles and Prices; the socialist discussions; the enigma of the business cycle; Sweden; London; from London to Cambridge; seeking work again; the first synthesis of theory; Kalecki and his colleagues at the Cambridge Project; and shared ideas amid mutual incomprehension. Toporowski is with the School of Oriental and African Studies at the University of London.”

Common time variation of parameters in reduced-form macroeconomic models

2015 ◽  
Vol 0 (0) ◽  
Author(s):  
Dalibor Stevanovic
Keyword(s):  
Time Variation ◽  
Reduced Form ◽  
Time Varying ◽  
Vector Autoregressions ◽  
Macroeconomic Models ◽  
Variation Of Parameters ◽  
Common Time ◽  
Time Varying Parameter ◽  
Low Dimension ◽  
Structural Vector

AbstractStandard time varying parameter (TVP) models usually assume independent stochastic processes. In this paper, I show that the number of underlying sources of parameters’ time variation is likely to be small, and provide empirical evidence for factor structure amongst TVPs of popular macroeconomic models. In order to test for the presence of low dimension sources of time variation in parameters and estimate their magnitudes, I develop the factor time varying parameter (Factor-TVP) framework and apply it to [Primiceri, G.E. (2005), “Time Varying Structural Vector Autoregressions and Monetary Policy,”

Internationale Konjunkturverbunde / International Business Cycles

2006 ◽  
Vol 226 (4) ◽  
Author(s):  
Michael Graff
Keyword(s):  
Business Cycle ◽  
International Business ◽  
Hierarchical Cluster ◽  
International Business Cycles ◽  
Anglo Saxon ◽  
International Business Cycle ◽  
English Speaking ◽  
The Business Cycle ◽  
Positive Correlations ◽  
High Degree

SummaryAfter conceptual clarification of “international business cycle” and a review of the literature, a new indicator is proposed. This indicator refers to two time series only and allows for an internationally comparable quantification of a country’s position in the business cycle. We then calculate times series of this indicator for 30 countries from 1970-2000. After some plausibility checks, we refer to these series to test a number of hypotheses. Cross correlations reveal a high degree of interconnectedness. Moreover, the number of highly positive correlations has increased over time, whereas the number of low and moderate correlations has decreased. A principal components analysis yields a first component that can be interpreted as the world business cycle. The further components suggest the existence of a Scandinavian-Anglo-Saxon business cycle as well as of another, smaller group of Anglo-Saxon countries that move together. This finding is replicated by a hierarchical cluster analysis, which in addition suggests a closely integrated group of non-Scandinavian and non-English speaking European countries plus Japan and Israel. Furthermore, there is indication for some, albeit weak business cycle integration in Southeast Asia and in South America. The international business cycle is thus found to have a hierarchical structure.

scholarly journals INTENSITAS PERDAGANGAN DAN KESELARASAN SIKLUS BISNIS DI ASEAN-4 DAN UNI EROPA *

2011 ◽  
Vol 12 (2) ◽  
pp. 163
Author(s):  
Etty Puji Lestari
Keyword(s):  
Monetary Policy ◽  
Business Cycles ◽  
Business Cycle ◽  
Currency Union ◽  
Policy Coordination ◽  
Trade Intensity ◽  
Regression Methods ◽  
Trading Partners ◽  
Monetary Policy Coordination ◽  
The Business Cycle

The main objective of this research is to empirically analyze how the business cycle of ASEAN-4 (namely Indonesia, Malaysia, Thailand, and Philippines) economies are influenced by increased trade with European Union especially Netherland and Germany. Increased trade can lead business cycles across trading partners to be patterned in either direction, towards convergence or divergence. We used regression and vectorautoregression (VAR) methods for this research. Regression methods is based panel data whereas VAR is based on the time series analysis. There are four variables, which are business cycle, trade intensity, fiscal policy coordination and monetary policy coordination. This research conclude that trade intensity and monetary policy coordination are the major channel though which the business cycles of ASEAN-4 economies become synchronized. This has important implications for the formation of a currency union.

scholarly journals A Statistical Investigation of Business Cycles Characteristics in Pakistan

2017 ◽  
Vol II (I) ◽  
pp. 73-84
Author(s):  
Niaz Ali ◽  
Muhammad Tariq ◽  
Asia Baig
Keyword(s):  
Business Cycles ◽  
Business Cycle ◽  
Statistical Investigation ◽  
Test Results ◽  
Full Sample ◽  
Long Time ◽  
Time Periods ◽  
The Business Cycle ◽  
The Stability ◽  
Nominal Variables

This study investigates the business cycle characteristics for Pakistan using three sets of variables namely expenditure components of GDP, nominal variables and real variables. The findings reveal that the volatility of expenditure components are greater than GDP during the full sample of 1973 to 2015. Whereas, in the Pre-SAP and Post-SAP periods i.e. 1973-1988 and 1989-2015, real variables and nominal variables show more volatility than GDP. And, in terms of co-movement, expenditure components of GDP showed strong pro-cyclicality and relationship with GDP against other sets of variables. Moreover, the nominal variables show positive persistence and the business cycles caused by it, lasting for a long time against real variables and expenditure components of GDP. Furthermore, the results show that the correlation between CPI and GDP across all periods is counter cyclical. The stability test results show that business cycles features remained stable during two time periods.

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