Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/149492
Authors: 
Berger, Tino
Pozzi, Lorenzo
Year of Publication: 
2016
Series/Report no.: 
Tinbergen Institute Discussion Paper 16-088/VI
Abstract: 
We investigate the presence of international business cycles in macroeconomic aggregates (output, consumption, investment) using a panel of 60 countries over the period 1961 - 2014. The paper presents a Bayesian stochastic factor selection approach for dynamic factor models with predetermined factors. The literature has so far ignored model uncertainty in these models as common factors (i.e., global, regional or otherwise) are typically imposed but not tested for. We focus in particular on the existence of a global business cycle as the literature has, in our opinion unjustifiably, taken for granted its existence. In contrast to the literature, we find no evidence to support its presence.
Subjects: 
Global business cycle
dynamic factor model
Bayesian
model selection
JEL: 
C52
C32
F44
Document Type: 
Working Paper

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