Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/123732
Authors: 
Camacho, Maximo
Leiva-Leon, Danilo
Year of Publication: 
2014
Series/Report no.: 
Bank of Canada Working Paper 2014-48
Abstract: 
This paper examines the business cycle linkages that propagate industry-specific business cycle shocks throughout the economy in a way that (sometimes) generates aggregated cycles. The transmission of sectoral business cycles is modelled through a multivariate Markov-switching model, which is estimated by Gibbs sampling. Using nonparametric density estimation approaches, we find that the number and location of modes in the distribution of industrial dissimilarities change over the business cycle. There is a relatively stable trimodal pattern during expansionary and recessionary phases characterized by highly, moderately and lowly synchronized industries. However, during phase changes, the density mass spreads from moderately synchronized industries to lowly synchronized industries. This agrees with a sequential transmission of the industrial business cycle dynamics.
Subjects: 
Business fluctuations and cycles
Domestic demand and components
Econometric and statistical methods
JEL: 
C22
E27
E32
Document Type: 
Working Paper

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