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Essays on measuring international and intranational business cycles.

机译：关于衡量国际和国内商业周期的论文。

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摘要

The following studies aim to measure the relative importance of permanent and transitory components of the US business cycles and of the international business cycles of the G7 countries.; Study I. The relative importance of permanent and transitory components of macroeconomic time series. The study presents a decomposition of macroeconomic time series such as real GDP, industrial production, consumption, investment, and personal income into permanent and transitory components using highly popular approaches in the recent literature such as the unobserved components model, the Hodrick-Prescott filter, and the Baxter-King filter. It is shown that the weights that these approaches assign to the permanent and transitory shocks in aggregate economic fluctuations are different.; Study II. The dynamics of permanent and transitory components in international business cycles. The study investigates the dynamics of permanent and transitory components that are common across seven developed nations of the world. The common components are modeled to exhibit different behavior in the expansion and recession phases of international business cycles. I employ a multivariate unobserved components model with Markov regime switching. I find that the international business cycle does not exhibit classical contraction and expansion phases. The international permanent component has two phases: a high-growth phase and a low-growth phase, and there is no evidence of an international transitory component. The switch from a high-growth regime to a low-growth regime occurs in the second quarter of 1973. There are no further switches that occur from one regime to another. I also find that Japan is the most sensitive and Germany is the least sensitive to international permanent shocks.; Study III. Driving forces behind international business cycle fluctuations: Can one identify them? The study applies cointegrated VAR methodology to identify the long run structure of driving forces behind the international business cycles of the G7 countries. The study shows that the seven countries share four stochastic trends, where the single pushing force of one of the trends is the US. At the same time, the US is not influenced by permanent shocks of the other countries. Shocks to the US are the only ones that have a permanent effect on the France and the UK. The remaining three trends originate as collective stochastic shocks to Canada, France, Germany and Japan. The UK has a transitory effect on the other countries.
机译：以下研究旨在衡量美国经济周期中的永久性和过渡性组成部分以及七国集团国家国际经济周期中的相对重要性。研究I.宏观经济时间序列的永久和暂时组成部分的相对重要性。这项研究使用最新文献中的热门方法，例如未观察到的成分模型，Hodrick-Prescott过滤器，宏观经济时间序列，将实际GDP，工业生产，消费，投资和个人收入分解为永久性和暂时性成分。和Baxter-King滤镜。结果表明，这些方法在总体经济波动中赋予永久性和暂时性冲击的权重是不同的。研究二。国际商业周期中永久性和临时性组件的动态。该研究调查了在世界上七个发达国家中常见的永久性和临时性组件的动力学。对通用组件进行建模，使其在国际商业周期的扩张和衰退阶段表现出不同的行为。我采用了马尔可夫状态切换的多元不可观测组件模型。我发现，国际经济周期并未出现经典的收缩和扩张阶段。国际永久性组成部分分为两个阶段：高增长阶段和低增长阶段，没有证据表明存在国际暂时性组成部分。从高增长政权向低增长政权的转变发生在1973年第二季度。没有任何其他变化从一种政权转变为另一种政权。我还发现，日本对国际永久性冲击最敏感，德国最不敏感。研究III。国际商业周期波动背后的驱动力：能否识别出它们？该研究采用协整的VAR方法来确定G7国家国际商业周期背后的长期驱动力结构。研究表明，这七个国家共有四个随机趋势，其中一个趋势的单一推动力是美国。同时，美国不受其他国家永久性冲击的影响。对美国的冲击是唯一对法国和英国产生永久影响的冲击。其余三个趋势来自对加拿大，法国，德国和日本的集体随机冲击。英国对其他国家有短暂影响。

著录项

  • 作者

    Papanyan, Shushanik.;

  • 作者单位

    University of Houston.;

  • 授予单位 University of Houston.;
  • 学科 Economics General.
  • 学位 Ph.D.
  • 年度 2005
  • 页码 100 p.
  • 总页数 100
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类 经济学;
  • 关键词

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