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Kajal Lahiri

University at Albany, SUNY



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Yongchen Zhao

Towson University



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507 – Economic Forecasts and Macro Modeling

Business Cycle Synchronization: A Bayesian Model of Survey Forecasts

Sponsor: Business and Economic Statistics Section
Keywords: Stime-varying parameters, Dynamic factor model, real GDP growth, Parameter instability, Consensus forecasts

Kajal Lahiri

University at Albany, SUNY

Yongchen Zhao

Towson University

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.

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