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International Business Cycles and Long-Run Growth: An Analysis with Markov-Switching and Cointegration Methods

Published online by Cambridge University Press:  17 August 2016

Juergen Kähler  and
Volker Marnet
Juergen Kähler
Affiliation:
ZEW & Universität Mannheim
Volker Marnet
Affiliation:
ZEW, Mannheim
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Summary

In this article, we concern ourselves with the modelling of macroeconomic time series within the unit-roots framework. We apply two approaches which seem to be well suited to model business cycles and long-run growth phenomena. First, we apply the Markov-switching model which is built around the idea that a variable may be associated with different regimes. We extend this approach to allow for asymmetries in business cycles and find that with this modification the model identifies regimes which cannot be associated with notions of the business cycle. Second, in a cointegration analysis we examine common stochastic trends and international transmission of macroeconomic shocks. The results show that transient shocks do not vanish, but have long persistent effects. Furthermore, we supplement the cointegration approach with an impulse response analysis and find that there exists a transmission of shocks between countries which indicates great international dependencies in economic activity.

Résumé

Résumé

Dans cet article nous nous intéressons à la modélisation de séries temporelles macro-économiques dans le contexte de l'analyse des racines unitaires. Nous adoptons deux approches qui semblent être adaptées à la modélisation des cycles conjoncturels et des phénomènes de long-terme. D'abord, nous appliquons un modèle markovien à changement de régime, construit autour de l'idée qu'une même variable peut être associée a différents régimes. Cette approche est ensuite étendue a l'examen d'asymétries dans les cycles conjoncturels, ce qui permet d'identifier des régimes non-susceptibles d'être associés au cycle conjoncturel. Ensuite, dans une analyse de co-intégration, nous examinons les tendances stochastiques communes et la transmission internationale des chocs macro-économiques. Les résultats montrent que des chocs transitoires ne disparaissent pas et ont, au contraire, des effets longs et durables. De plus, en effectuant une analyse en termes d'impulsions et de réponses, nous trouvons qu'il existe une transmission des chocs entre pays, indiquant un degré élevé d'interdépendance dans l'activité économique des différents pays.

Keywords

131423211131423211
Type
Part III: Disequilibrium and Business Cycle Analysis
Information
Recherches Économiques de Louvain/ Louvain Economic Review , Volume 58 , Issue 3-4: Output and Employment Fluctuations , 1992 , pp. 399 - 417
Copyright
Copyright © Université catholique de Louvain, Institut de recherches économiques et sociales 1992 

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Footnotes

(*)

We thank Casper de Vries and three anonymous referees for helpful comments and suggestions.

References

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