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Investigación económica
versión impresa ISSN 0185-1667
Inv. Econ vol.62 no.246 Ciudad de México oct./dic. 2003
Artículos
A Cycle-Specific Approach to Business Cycles: Empirical Evidence from the G7
Un enfoque de ciclo específico para el ciclo económico: evidencia empírica para el G7
* Dipartimento di Economia, Università di Ancona, Ancona, Italy. E-mail: marcog@deanovell.unian.it and gallegati@deanovell.unian.it.
The goal of the paper consists in investigating if co-movements in some selected time series are common to various countries and cyclical phases. To do so, we use 18 economic time series (GDP and demand components, employment and wages, money and prices, interest rates and stock prices) between 1960:1-1998:IV for the G7 countries. The country-specific approach shows regularity in terms of co-movements and periodicity with respect to the GDP, in most of the series. In particular, consumption and investment among the aggregate demand components, employment and productivity, and, to a lesser degree, the consumers' and GDP price indexes, their inflation rates and the stock market index, are stable across countries, while the exogenous component of the national income series, the monetary variables, the interest rates and the nominal wage level are not. Moreover, we propose a cycle-specific approach which aims at testing if GDP-co-movements in aggregate time series are robust i.e. If they are common to various countries within each single cyclical episode. As regards the cycle-specific approach, the analysis of pairwise correlation coefficients within individual cyclical episodes shows that the real and labour market variable co-movements with GDP are stable across cycles for each country, while policy, wage and price variables are not. Both UK and US, whose wages and prices co-movements with GDP variables are stable across cycles, are an exception among the G7. Since our findings show that prices, interest rates and the costs of the factors do not behave uniformly across cycles and group of countries, a more cautious approach to the analysis of the business cycle should be taken. In particular, the results emerging from the cycle-specific approach may have important policy implications: first, if business cycles "are not all alike" policymakers reaction functions should be, at least, "cycle-specific", and second, looking at UK and US exceptions, they should be even "country-specific".
El objetivo de este artículo es investigar si los co-movimientos de algunas series de tiempo seleccionadas son comunes para varios países y fases cíclicas. Por consiguiente, usamos 18 series de tiempo económicas (PIB y componentes de la demanda, empleo y salarios, dinero y precios, tasas de interés y acervo de precios) entre 1960: 1-1998: IV para los países del G7. El enfoque por países muestra regularidad en términos de co-movimientos y periodicidad con respecto al PIB en la mayoría de las series. En particular, el consumo y la inversión entre los componentes de la demanda agregada, el empleo y la productividad y, en menor grado, los índices de precios del PIB y del consumidor, la tasa de inflación y el índice del mercado de valores son estables de un país a otro, mientras los componentes exógenos de las series de ingreso nacional, las variables monetarias, la tasa de interés y el nivel del salario nominal no lo son. Además, proponemos un enfoque de ciclo específico el cual aspira a probar si los co-movimientos del PIB en las series de tiempo agregadas son robustas, i. e., si hay similitud para varios países. El análisis pareado de los coeficientes de correlación con episodios cíclicos individuales muestran que los co-movimientos de las variables reales y el mercado de trabajo para con el PIB son estables a través de los ciclos para cada país, mientras las determinadas por la política, esto es las variables salarios y precios, no lo son. Tanto el Reino Unido como Estados Unidos, cuyos co-movimientos en salarios y precios para con las variables del PIB son estables a través de los ciclos, son una excepción en el G7. Nuestros hallazgos muestran que los precios, la tasa de interés y el costo de los factores no se comportan uniformemente a través de los ciclos y grupos de países, sería apropiado un enfoque más cauteloso para el análisis de los ciclos económicos. En particular, el resultado emergente para el enfoque ciclo específico puede tener importantes implicaciones políticas: primero, si los ciclos económicos "no son todos semejantes" las funciones de reacción de los hacedores de política detenían, a lo menos, el "ciclo específico" y, segundo, se observan excepciones en Reino Unido y Estados Unidos, entonces esas reacciones deberían ser "país específico".
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Received: November 2002; Accepted: June 2003
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