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Activity Number: 507 - Economic Forecasts and Macro Modeling
Type: Contributed
Date/Time: Wednesday, August 2, 2017 : 10:30 AM to 12:20 PM
Sponsor: Business and Economic Statistics Section
Abstract #324810 View Presentation
Title: Business Cycle Synchronization: A Bayesian Model of Survey Forecasts
Author(s): Kajal Lahiri* and Herbert Zhao
Companies: SUNY - Albany and Towson University
Keywords: Stime-varying parameters ; Dynamic factor model ; real GDP growth ; Parameter instability ; Consensus forecasts

Using real GDP growth forecasts, we measure the impact of business cycle synchronization on industrialized countries and Asia developing economies. Our measures are based on a Bayesian time-varying parameter dynamic factor model of the forecast revisions. Empirical results highlight a significant amount of global spillovers of real economic shocks from industrialized countries, while a regional business cycle in Asia is as important as the global cycle to developing economies. We find no evidence of permanent shifts in the degree of business cycle synchronization. Instead, transient shocks play a dominant role in the last 20 years.

Authors who are presenting talks have a * after their name.

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