Front Matter Page
Research Department
Authorized for distribution by Stijn Claessens
Contents
I. Introduction
II. Methodology and Data
A. A Dynamic Factor Model
B. Advantages of Dynamic Factor Models
C. Variance Decompositions
D. Data
III. Dynamic Factors and Episodes of Business Cycles
A. Evolution of the Global and Group-Specific Factors
B. Country Factors and Domestic Economic Activity
IV. Sources of Business Cycle Fluctuations: 1960-2005
A. Common Cycles: Global and Country-Specific Factors
B. National Cycles: Country and Idiosyncratic Factors
C. Summary
V. Globalization and the Evolution of International Business Cycles
A. Convergence or Decoupling?
B. Consumption Comovement
C. Dynamics of Investment
D. Summary
VI. Sensitivity Experiments
A. Results for Sub-groups of Countries
B. Changes in the Importance of Global and Group Factors
C. Implications of Crises
D. Alternative Breakpoints
VII. Conclusion
Tables
1. Variance Decompositions—All Groups
2. Variance Decompositions—Industrial Country Subsamples
3. Variance Decompositions—All Groups
4. Variance Decompositions—Industrial Country Subsamples
5. Variance Decompositions—Emerging Economy Subsamples
6. Variance Decompositions—Other Developing Economy Subsamples
Figures
1. Global and Group-Specific Factors
2. Output Growth and Estimated Factors for Selected Countries
3. Average Variance Explained by the Global and Group Factors
4. Average Variance Explained by Global and Group Factors
5. Average Variance Explained by Global Factor
6. Average Variance Explained by Group Specific Factors
7. Average Variance Explained by Global and Group-Specific Factors—All Countries
8. Output Variance Explained by Global Factor
9. Output Variance Explained by Group Factor
Appendices
I. A Bayesian Approach to Estimating Dynamic Factor Models
II. Testing for Structural Breaks
III. List of Countries
References