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Importancia De Las Perturbaciones Externas En La Economía Española Tras La Integración: ¿Tamaño Del Shock O Grado De Respuesta?
Abstract
In this paper we examine Australian data on national and regional employment numbers, focusing in particular on whether there have been common national and regional changes in the volatility of employment. A subsidiary objective is to assess whether the results derived from traditional growth rate models are sustained when alternative filtering methods are used. In particular, we compare the results of the growth rate models with those obtained from Hodrick-Prescott models. Using frequency filtering methods in conjunction with autoregressive modeling, we show that there is considerable diversity in the regional pattern of change and that it would be wrong to suppose that results derived from the aggregate employment series are generally applicable across the regions. The results suggest that the so-called great moderation may have been less extensive than aggregate macro studies suggest.
Spanish wine exports have experienced a great boom since Spain became a member of the EEC in 1986. The process was further stimulated by the 1994 Uruguay Round of GATT agreements, along with successive reforms of the CAP and the Common Market Organizations for wine in 1987, 1999 and 2008. In this symbiotic framework of integration and globalisation, Spanish wine destinations have changed dramatically in structure and characteristics. The logic of focussing exports on intra-EU markets has now combined with shifts toward other emerging destination countries. In this article we analyse the factors influencing changes in the gravity dynamics of Spanish wine exports and the importance of each variable. Destination markets have been grouped into five large categories that together represent 84% of total exports, and differences between wines with and without a protected designation of origin [denominacion de origen protegida or DOP] have been analysed. The results indicate that Spain has experienced shifts in export gravity and developed as a price-competitive country, becoming an export leader in non-DOP wine. Simultaneously, Spanish wine has firmly established itself in traditional markets, has a higher average export price and has expanded its commercial dynamics to emerging markets outside the EU.
We hope to answer three questions: Has there been a structural break in postwar U.S. real GDP growth towards stabilization? If so, when? What is the nature of this structural break? We employ a Bayesian approach to identify a structural break at an unknown changepoint in a Markov-switching model of the business cycle. Empirical results suggest a break in GDP growth toward stabilization, with the posterior mode of the break date at 1984:1. Furthermore, we find a narrowing gap between growth rates during recessions and booms that is at least as important as any decline in the volatility of shocks. © 2000 by the President and Fellows of Harvard College and the Massachusetts Institute of Technolog
Early in 2000, after a decade of economic expansion, growth began to slow simultaneously in the large, advanced economies known as the Group of Seven (G-7)--Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States. The general slide in GDP growth fueled speculation that a period was emerging in which broad movements in the economies of the industrialized countries would be more closely linked. Proponents of this view argued that greater trade in goods and financial markets was leading to a greater synchronization of national economies. A rise in the co-movement of GDP among countries would have important implications for the making of national economic policies. Governments, for example, would need to take closer account of forecasts for conditions abroad in formulating forecasts for their domestic economies. The authors find, first, that the degree to which enhanced trade and financial linkages might be expected to increase the co-movement, or correlation, of economic growth among countries is far from clear. Then, examining the period from 1970 to the first quarter of 2002, the authors find that, indeed, the estimated correlation of growth across the G-7 has been higher in the current downturn than during the expansion of the 1990s. Rather than signaling a future of permanently higher synchronization, however, the rise is shown to be typical of business cycles over the past thirty years. Furthermore, estimates of correlation have not yet reached the peaks attained after earlier recessions. Overall, despite many changes in the international economy, the evidence does not reveal the arrival of a permanently higher correlation of growth rates among the G-7.
A country's suitability for entry into a currency union depends on a number of economic conditions. These include, inter alia, the intensity of trade with other potential members of the currency union, and the extent to which domestic business cycles are correlated with those of the other countries. But international trade patterns and international business cycle correlations are endogenous. This paper develops and investigates the relationship between the two phenomena. Using thirty years of data for twenty industrialized countries, the authors uncover a strong and striking empirical finding: countries with closer trade links tend to have more tightly correlated business cycles.
This paper develops a set of approximate band-pass filters designed for use in a wide range of economic applications. In particular, we design and implement a specific band-pass filter which isolates business-cycle fluctuations in macroeconomic time series. This filter was designed to isolate fluctuations in the data which persist for periods of two through eight years. This filter also 'detrends' the data, in the sense that it will render stationary time series that are integrated of order two or less, or that contain deterministic time trends. We apply our filter to several of the key macroeconomic time series, and describe the picture of the U.S. postwar business cycle that emerges from our analysis. We also provide detailed comparisons with several alternative detrending methods.
In this paper, we develop an aggregation procedure using time-varying weights for constructing the common component of international economic fluctuations. The methodology for deriving time-varying weights is based on some stylised features of the data documented in the paper. The model allows for a unified treatment of cyclical and seasonal fluctuations and also accommodates the dynamic propagation of shocks across countries. We find evidence for a ‘world business cycle’ as well as evidence for a distinct European common component. We also find some evidence that macroeconomic fluctuations have become more closely linked across industrial economies in the period after 1973.
The degree of symmetry of the shocks that cause macroeconomic fluctuations in the different European economies is a basic consideration when evaluating the cost in terms of loss of the nominal exchange rate as an instrument for short-term macroeconomic adjustment. The more symmetrical these shocks, the lower the costs. This paper uses a structural Bayesian Vector Autoregressive (BVAR) approach and quarterly data from 1970 to 1996 to characterise the responses to common and specific, nominal and real, shocks in four European economies. Our findings suggest that, in the short run, asymmetrical shocks have dominated.
This paper investigates the differences in time series behavior of key economic aggregates under alternative exchange-rate systems. We use a postwar sample of 49 countries to compare the behavior of output, consumption, trade flows, government consumption spending, and real exchange rates under alternative exchange-rate systems (pegged, floating, and cooperative systems such as the EMS). We then examine evidence from two particular episodes, involving Canada and Ireland, of changes in the exchange-rate system. Aside from greater variability of real exchange rates under flexible than under pegged nominal exchange-rate systems, we find little evidence of systematic differences in the behavior of macroeconomic aggregates or international trade flows under alternative exchange-rate systems. These results are of interest because a large class of theoretical models implies that the nominal exchange-rate system has important effects on a number of macroeconomic quantities.
This is the new and totally revised edition of Ltkepohl's classic 1991 work. It provides a detailed introduction to the main steps of analyzing multiple time series, model specification, estimation, model checking, and for using the models for economic analysis and forecasting. The book now includes new chapters on cointegration analysis, structural vector autoregressions, cointegrated VARMA processes and multivariate ARCH models. Different procedures for model selection and model specification are treated and a wide range of tests and criteria for model checking are introduced. Causality analysis, impulse response analysis and innovation accounting are presented as tools for structural analysis. It bridges the gap to the difficult technical literature on the topic as it is a highly accessible and user-friendly work. In addition, multiple time series courses in other fields such as statistics and engineering may be based on it.
Successful exchange rate regimes impose policy disciplines that are likely to lead to conformity in the business cycles of the participating countries. This conjecture is borne out in the paper by the evidence in it that the business cycle affiliation of Exchange Rate Mechanism (ERM) member countries has shifted from the United States to Germany since the formation of the ERM. This effect is bolstered by the growing links in trade between the EU countries. The United Kingdom is conspicuous among the latter in that its business cycle affiliation did not change in the period covered by the study. Copyright 1999 by Royal Economic Society.
The authors propose a procedure for representing a time series of a smoothly varying trend component and a cyclical component. They document the nature of the comovements of the cyclical components of a variety of macroeconomic time series. The authors find that comovements are very different than the corresponding comovements of the slowly varying trend components. Copyright 1997 by Ohio State University Press.
This paper studies the behavior of monthly industrial production indices during the recent periods of fixed and flexible exchange rate s. The central conclusions are as follows: industrial production indices are subject to stochastic trend growth; the variances of the monthly growth rates are higher in the flexible exchange rate period than in the fixed exchange rate period, and are related to the degree of openness and to national income-more open economies tend to experience more variability while richer, more diversified economies experience less; and output movements have been correlated across countries under both exchange rate regimes, and there is evidence of a world business cycle. Copyright 1988 by Ohio State University Press.
Successful fixed exchange rate regimes impose policy disciplines that are likely to lead to conformity in the business cycles of the participating countries. This conjecture is borne out in the present paper by the evidence that the business cycle affiliation of ERM member countries has shifted from the United States to Germany since the formation of the ERM. This effect is bolstered by growing links in trade and finance between the European countries. The United Kingdom is conspicuous among these in that its business cycle affiliation did not change in the period of study. Copyright @ 1997 by John Wiley & Sons, Ltd. All rights reserved.
The authors contrast properties of real quantities with those of price levels and stocks of money for ten countries over the last century. Although the magnitude of output fluctuations has varied across countries and periods, relations among real quantities have been remarkably uniform. Properties of price levels, however, exhibit striking differences between periods. Inflation rates are more persistent after World War II than before, and price-level fluctuations are typically procyclical before World War II and countercyclical afterward. Fluctuations in money are less highly correlated with output in the postwar period but are no more persistent than in earlier periods. Copyright 1992 by American Economic Association.
This paper investigates the basic stylized facts of business cycles in the G7 countries using quarterly data from 1960-89. The methodology used is based on Kydland and Prescott (1990). The evidence suggests that the real business cycles model can account for several important stylized facts for all seven countries. In particular, consumption is procyclical and fluctuates generally less than output; investment is procyclical and fluctuates more than output; net exports are countercyclical; prices are countercyclical; and money does not have a clear-cut cyclical pattern. Real business cycles models cannot at present account for some basic stylized facts of labour dynamics, however, primarily because they cannot account for variations in total hours and hours per worker. This and other evidence suggests that labour hoarding might, especially in Europe and Japan, be the main force behind employment dynamics.
We document a structural decline in the volatility of real U.S. GDP growth in the first quarter of 1984. As a means of understanding the dramatic volatility reduction, we decompose output growth by major product type and provide evidence that the break emanates from a reduction in the volatility of durable goods production. We further show that the break in durables is roughly coincident with a break in the proportion of durables accounted for by inventories. We note that the break in output volatility affects the implementation of a wide range of simulation and econometric techniques and offer one important illustration of this in the context of a regime-switching model of output growth.
: The paper investigates the common dynamic properties of business cycle fluctuations across countries, regions and the world. We employ a Bayesian dynamic latent factor model to estimate common components in main macroeconomic aggregates (output, consumption and investment) in a sixty-country sample covering seven regions of the world. In particular, we simultaneously estimate (i) a dynamic factor common to all aggregates/regions/countries (the world factor); (ii) a set of 7 regional dynamic factors common across aggregates within a region; (iii) 60 country factors to capture dynamic comovement across aggregates within each country; (iv) and a component for each aggregate that captures idiosyncratic dynamics. We decompose the volatility in each aggregate into the fraction due to the world, region, country, and idiosyncratic components. The results indicate that the world factor is an important source of volatility for aggregates in most countries, providing evidence for a world busine...
Similarities and convergence in G- 7 cycles” European Central BankChanges in the variability of the business cycle in the G7 countries
- F Canova
- M Cicarelli
- E Ortega
Canova, F., M. Cicarelli y E. Ortega (2004), “Similarities and convergence in G- 7 cycles”. Working Paper Series 312, European Central Bank. van Dijk, D., D.R. Osborn y M. Sensier, (2002), “Changes in the variability of the business cycle in the G7 countries”, Centre for Growth and Business Cycle Research, University of Manchester, Discussion Paper 16
An investigation of co-movements among the growth rates of the G-7 countriesWorld business cycles under fixed and flexible exchange rates
- B Doyle
- J Faust
Doyle, B. y J. Faust (2002), “An investigation of co-movements among the growth rates of the G-7 countries”, Federal Reserve Bulletin, October, 427-437. r29 Gerlach, S. (1988), “World business cycles under fixed and flexible exchange rates”, Journal of Money, Credit and Banking, Vol 20, pp 621-632