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Activity Number:
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63
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Type:
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Topic Contributed
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Date/Time:
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Sunday, August 2, 2009 : 4:00 PM to 5:50 PM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #305113 |
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Title:
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Are There Common Upswings and Downswings Between NAFTA Countries?
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Author(s):
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Shushanik Papanyan*+
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Companies:
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The University of Texas at Arlington
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Address:
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Campus Box 19479, Arlington, TX, 76019,
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Keywords:
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international business cycles ; unobserved components ; Markov regime switching ; NAFTA
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Abstract:
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Following the characteristics of business cycle fluctuations this paper studies the simultaneous estimation of co-movement and asymmetry within an international business cycles framework. The objective of this paper is to measure the relative importance of common permanent and transitory components for the outputs of NAFTA countries. A multivariate state-space model with Markov regime switching is applied with a twofold purpose: a decomposition of macroeconomic variables into permanent and transitory components, as well as an application of dynamic factor analysis to identify the business cycle fluctuations of common components. This study finds that the common trend exhibits upswings and downswings that are synchronized across NAFTA countries. The economic swings in the common trend occur for 3 out of the 5 recessions that were experienced in the U.S. during the examined time period.
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