Publication:
The propagation of industrial business cycles

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Date
2017-09-21
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Authors
Camacho, Maximo ; Leiva-Leon, Danilo
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Publisher
Cambridge University Press
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publication.page.department
Métodos Cuantitativos para la Economía y la Empresa
DOI
https://doi.org/10.1017/S1365100516001140
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info:eu-repo/semantics/article
Description
© 2017. This document is made available under the CC-BY 4.0 license http://creativecommons.org/licenses/by /4.0/ This document is the submitted version of a published work that appeared in final form in Macroeconomic Dynamics.
Abstract
This paper examines the business cycle linkages that propagate industry-specific business cycle shocks throughout the economy in a way that (sometimes) generate aggregated cycles. The transmission of sectorial business cycles is modelled through a multivariate Markov-switching model, which is estimated by Gibbs sampling. Based on 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 out from the central part to the higher end of lowly synchronized industries.
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Business cycles , Output Growth , Time Series
Citation
Macroeconomic Dynamics , Volume 23 , Issue 1 , January 2019 , pp. 144 - 177
URI
http://hdl.handle.net/10201/137186
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