common trends and common cycles in regional crime this paper uses the vahid and engle journal of applied econometrics 8 341 360 1993 common trend common cycle approach to model the dynamics of regional crime rates in england over the period

will business cycles in the euro area converge a critical survey of empirical research this survey of business cycle synchronization in the european monetary union focuses on two issues have business cycles become more similar and which factors drive business cycle synchronization we conclude that business cycles in the euro area have gone through periods of both convergence and divergence still there is quite some evidence that during the 1990s business cycle synchronization in the euro area has increased higher trade intensity is found to lead to more synchronization but the point estimates vary widely the evidence for other factors affecting business cycle synchronization is very mixed

monetary union in west africa and business cycles synchronicity new evidence in the light of the initiative of the west african monetary zone wamz to introduce a common currency by 2020 this paper investigates the intricacies of the business cycles synchronicity among the six countries given i the rising importance of trade and cooperation with china ii the consideration of the euro as a potential anchor currency and a vehicle for trade with the eurozone and iii the importance of nigeria as the largest country of the group and the main supplier of oil we investigate the relative importance of these three major players in having their business cycles linked with the group in addition we investigate the underlying determinants of the business cycles synchronicity among the wamz countries on a pairwise basis results show a clear dominance of china s business cycle synchronicity with the wamz over europe s and nigeria s trade integration emerges as the key underlying factor of the common cycle observed

has work sharing worked in germany industry by industry basis in an attempt to raise employment whether this work sharing works is theoretically ambiguous i exploit the cross industry variation in standard hours reductions to examine their impact on actual hours worked wages and employment analysis of industry level data suggests that work sharing may have reduced employment in the period 1984 1994 using individual data from the german socio economic panel i substantiate the union claim of full wage compensation the hourly wage rose enough to offset the decline in actual hours worked

the eurosystem the u s federal reserve and the bank of japan similarities and differences the paper provides a systematic comparison of the eurosystem the u s federal reserve and the bank of japan these monetary authorities exhibit somewhat different status and tasks which reflect different historical conditions and national characteristics however widespread changes in central banking practices in the direction of greater independence and increased transparency as well as changes in the economic and financial environment over the past 15 20 years have contributed to reduce the differences among these three world s principal monetary authorities a comparison based on simple over the counter policy reaction functions shows no striking differences in terms of monetary policy implementation

energy consumption at business cycle horizons the case of the united states in this paper we propose a simple extension to a keynesian type macro model by augmenting it with energy consumption we show the relationship between energy consumption and output in a macroeconomic setting and ask the question do permanent shocks dominate changes in energy consumption and output at business cycle horizons for the united states to achieve the goal of this paper we undertake a variance decomposition analysis of shocks based on a common trend and common cycle framework within a vector error correction model our main finding is that permanent shocks explain the bulk of the variations in energy consumption and output at business cycle horizons for the united states

the cyclical behavior of prices abstract the procyclical behavior of prices has been a staple of business cycle lore since the work of the early nber business cycle researchers this paper reexamines that empirical fact the aggregate data do not support procyclical price movements as a stable feature of the business cycle the only episode where it is a robust feature of the data is the period between the two world wars particularly the period of the great depression

the locational determinants of direct investments among industrialized countries abstract market size and growth rate as well as tariff barriers have already been shown to influence u s direct investments in the eec the present paper enlarges the field of observation to all bilateral flows of direct investments among six industrialized countries the united states germany france the united kingdom the netherlands and belgium over the years 1969 1982 it also tests the impact of two other would be locational determinants of foreign direct investments namely unit labour costs and export flows moreover a new and alternative specification is put forward and tested which assumes that in the investment decision process foreign locations are in competition not only with each other but also with the home country of the investor

determinants of u s direct investment in the e e c revisited again abstract this paper discusses the scaperlanda balough comment on a previous study of mine that appeared in this review the scaperlanda balough paper extends and improves upon my study by employing better variables to test the hypotheses however i offer a different interpretation of the empirical evidence they present concerning the efficacy of the u s controls on direct investment

monetary policy synchronization in the asean 5 region an exchange rate perspective in light of the long standing vision of economic and monetary integration in the asean association of southeast asian nations region and the importance of coordinating monetary policies to achieve it the objective of this article is to assess the monetary policy synchronization among the founding members of the asean that is indonesia malaysia the philippines singapore and thailand due to the importance of exchange rate movements to monetary policies we approach this issue from a currency exchange rate perspective specifically multivariate trend cycle decomposition is employed to investigate common trends and common cycles among the exchange rates of these countries during the period 1976 2012 our analysis reveals that the real exchange rates of malaysia the philippines singapore and thailand share common cycles in the short term and have common trends in the long term but the indonesian currency does not share these relationships thus our results augur well for the synchronization of mo

common trends and common cycles the existence of a serial correlation common feature among the first differences of a set of i 1 variables implies the existence of a common cycle in the beveridge nelson stock watson decomposition of those variables a test for the existence of common cycles among cointegrated variables is developed the test is used to examine the validity of the common trend common cycle structure implied by flavin s excess sensitivity hypothesis and campbell and mankiw s mixture of rational expectations and rule of thumb hypothesis for consumption and income linear independence between the cointegration and the cofeature vectors is exploited to decompose consumption and income into their trend and cycle components copyright 1993 by john wiley sons ltd

european monetary union a new approach this paper studies the implications of european monetary integration in europe for real interest rates and for the variability of the transatlantic exchange in germany and the uk if the ecb adopts the targeting procedures of the bundesbank then currency union will lower real interest rates somewhat but significantly decrease exchange rate variability to that in germany in the absence of credibility problems and assuming that the uk would have otherwise followed inflation targeting british participation in the emu will result in slightly lower uk real interest rates but substantially greater exchange rate volatility against the us c 1997 elsevier science ltd

working time reduction and employment experiences in europe and economic policy recommendations the paper seeks to evaluate the evidence on the employment effects of the collective working time reductions in europe over the past 20 years while theoretical analyses produce contradictory assessments most empirical studies show positive employment effects but take insufficient account of the conditions under which the reductions in working time were implemented these conditions for the success of collective working time reductions include an active training policy designed to minimise skill shortages in the labour market the modernisation of work organisation wage increases in conjunction with productivity gains and a more equal income distribution

an unobserved components model that yields business and medium run cycles we generalize the unobserved components uc model to allow the permanent component to have different dynamics than the transitory components when decomposing u s economic activity using a multivariate uc model of log output consumption and investment we find that these proposed dynamics in the permanent component are statistically significant and distinct from those of the transitory components our approach provides an alternative explanation for the growth cycles identified by comin and gertler 2006 that is related to the cyclical movements in technology in a framework consistent with the beveridge and nelson 1981 decomposition

borders and business cycles abstract we document that business cycles of u s census regions are substantially more synchronized than those of european countries data from regions within european countries confirm a european border effect within country correlations are substantially larger than cross country correlations these results continue to hold after controlling for exogenous factors such as distance and size we consider the role of four factors that have received attention in the debate about emu sectoral specialization the level of trade monetary policy and fiscal policy we find that the lower level of trade between european countries explains most of the observed border effect

regional integration in china a statistical model abstract we illustrate that a statistical model can be used to gauge the degree of market integration the model is applied to the case of china which is undergoing transition from a central planning to a market economy and there is a growing interest as to the evolution of its market integration

a new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the business cycle abstract this paper introduces a general procedure for decomposition of non stationary time series into a permanent and transitory component allowing both components to be stochastic the permanent component is shown to be a random walk with drift and the transitory or cyclical component is a stationary process with mean zero the decomposition methodology which depends only on past data and therefore is computable in real time is applied to the problem of measuring and dating business cycles in the portwar u s economy we find that measured expansions and contractions are of roughly equivalent duration and that our dating of cyclical episodes tends to lead the traditional nber dating and to a lesser extent the growth cycle chronology of zarnowitz and boschan 1977

trade integration and business cycle convergence is the relation robust across time and space in this paper we investigate the relationship between trade intensity and the business cycle correlation using a panel data set taken from 24 countries over the period 1959 2003 most previous studies did not account for the possibility that the business cycle correlation may be influenced by unobservable country pair specific effects our estimates using both fixed and random effects methodologies suggest that trade intensity and the business cycle correlation are positively related to one another however detailed investigation shows that this relationship exists mainly for the european countries

worktime regulations and spousal labor supply we study interdependencies in spousal labor supply by exploiting the design of the french workweek reduction which introduced exogenous variation in one s spouse s labor supply at constant earnings treated employees work on average two hours less per week husbands of treated women respond by reducing their labor supply by about half an hour consistent with substantial leisure complementarity and specifically cut the non usual component of their workweek leaving usual hours unchanged women s response to their husband s treatment is instead weak and rarely statistically significant possibly due to heavier constraints in the organization of their workweek

work sharing employment and wages the paper analyzes the effects of a reduction in working time on wages and employment with a monopoly union in general it is not clear in which directions these variables move but if employment and working time are perfect substitutes the effects are related to how working time has been determined initially the wage increases if initial working time is smaller than or equal to the trade union optimum whereas the result is unclear when it is larger in this case it is never optimal for a trade union to reduce both the wage and working time in response to a recessionary supply shock the analysis may help to explain varying attitudes towards work sharing in different countries

some consequences of temporal aggregation in empirical analysis i derive the generating mechanism of a temporally aggregated process when the disaggregated one belongs to the vector autoregressive integrated moving average class i then study the effects of temporal aggregation on a set of characteristics of usual interest such as exogeneity causality cointegration and common features an empirical example with canadian interest rates illustrates the main issues

the dynamic effects of aggregate demand and supply disturbances we interpret fluctuations in gnp and unemployment as due to two types of disturbances disturbances that have a permanent effect on output and disturbances that do not we interpret the first as supply disturbances the second as demand disturbances demand disturbances have a hump shaped mirror image effect on output and unemployment the effect of supply disturbances on output increases steadily over time peaking after two years and reaching a plateau after five years

forecasting the volatility of australian stock returns do common factors help this article develops multivariate factor models for forecasting volatility in australian stocks we suggest estimation procedures for approximate factor models that are robust to jumps when the cross sectional dimension is not very large and also work with volatility measures that have been constructed so that they contain no jump components out of sample forecast analysis shows that multivariate factor models of volatility outperform univariate models but there is little difference between simple and sophisticated factor models

international evidence on the historical properties of business cycles we contrast properties of real quantities with those of price levels and stocks of money for ten countries over the last century although the magnitude of output fluctuations has varied across countries and periods relations among real quantities have been remarkably uniform properties of price levels however exhibit striking differences between periods inflation rates are more persistent after world war ii than before and price level fluctuations are typically procyclical before world war ii and countercyclical afterward fluctuations in money are less highly correlated with output in the postwar period but are no more persistent than in earlier periods jel e32 e31

business cycle convergence in emu a first look at the second moment we analyse the dynamics of the standard deviation of demand and supply shocks as well as of the demand component of gdp across countries in the european monetary union emu this analysis allows us to evaluate the patterns of cyclical comovement in emu and compare them the cyclical performance of the new members of the eu and other oecd countries we make use of sigma convergence methods to identify synchronization patterns in business cycles the eurozone has converged to a stable lower level of dispersion across business cycles during the end of the 80s and the beginning of the 90s the new eu members have also experienced a strong pattern of convergence from 1998 to 2005 when a strong divergence trend appears an enlargement of the emu to 22 members would not significantly decrease its optimality as a currency area there is evidence for some europe specific characteristics as compared to global comovements in business cycles authors abstract

the optimal timing of a foreign direct investment analyses of the optimal timing of foreign direct investment fdi decisions have been curiously lacking in the general literature on multinational enterprises cf buckley 1979a b although comparative static analyses exist comparing exporting to the host country with market servicing from a production unit sited in the host country horst 1971 hirsh 1976 the only attempt to predict the timing of the switch from exporting to foreign based production is that of aliber 1970 although vernon 1966 gives a cost based rationale for the switch this chapter attempts to fill this gap in the theory of fdi section 2 1 outlines and criticises previous attempts to deal with the problem sections 2 2 4 present a simple model which ignores set up costs and sections 2 5 and 2 6 give a more detailed analysis including such costs further extensions of the theory are considered in section 2 7 and the conclusions are summarised in section 2 8 the problem emerges as being more complex than had previously been appreciated

measuring common cyclical features during financial turmoil evidence of interdependence not contagion abstract this paper develops a test of contagion in financial markets by considering a measure of co movement based on the notion of common cycles to detect short run co movements between a set of time series we apply our methodology to the international effects of the 1994 mexican peso crisis and the 1997 asian crisis our results can be interpreted as evidence of a high level of market co movement during all states of the world and therefore question the hypothesis of shift contagion in the transmission of financial shocks during the 1997 asian crisis and to a lesser extent the 1994 mexican crisis

employment fluctuations in u s regions and industries the roles of national region specific and industry specific shocks this study quantifies the roles of national region specific and industry specific shocks in aggregate employment fluctuations in u s regions and industries variation among the growth rates of major regions and industries is decomposed into unobserved national region and industry specific components the results reject the view that any heterogeneity in regional fluctuations is attributable to differences in industry composition after controlling for industry mix effects roughly 40 of the variance of the cyclical innovation in any region s growth rate is particular to that region in addition region specific shocks appear to propagate across regions over time

the emergence of regional business cycle in africa a reality or myth a bayesian dynamic factor model analysis this paper examines the evolution and the underlying forces of the business cycle co movements among seven african a 7 countries over the period 1970 2016 these countries accounted for over 60 of regional gdp have abundant natural resources access to the global capital market and widely viewed as potential drivers of regional or african business cycle we model the national business cycle using real output consumption and investment we employ a dynamic factor model to decompose fluctuations in these macro variables into a regional country specific and idiosyncratic components using bayesian methods we also analyse the relative importance of some notable drivers of business cycle fluctuations found in the literature we find that the idiosyncratic component is dominating cyclical fluctuations in the a 7 countries while country specific and regional factors play a negligible role suggesting the inexistence of a common regional cycle despite deepening intra african trade among the driving variables the terms of trade shocks exert greater influence on the a 7 business cycle while exchange rate movements and changes in money supply explain sizeable fluctuations in consumption and investment in most of the a 7 countries shocks associated with changes in relative domestic oil prices monetary and fiscal policies cause large output fluctuations

multicointegration in us consumption data the present study tests for the existence of multicointegration between real per capita private consumption expenditure and real per capita disposable personal income in the usa in doing so the study exploits the fact that the flows of disposable income and consumption expenditure on the one hand and the stock of consumers wealth which can be considered as cumulative past discrepancies between the flows of income and expenditure on the other hand can be thought of as a stock flow model in which multicointegration is likely to occur recently developed i 2 techniques are applied for testing for multicointegrating relations and find supporting evidence for the existence of multicointegration in us consumption data

regional and outward economic integration in south east asia the subject of this article tackles macroeconomic integration of the south east asian countries south korea singapore and taiwan economically the analysis is based on notions of stochastic long run convergence and business cycle synchrony in the gross domestic products gdps relevant tests for cointegration and common serial correlation features reveal a high degree of coherence in long run growth and medium run fluctuations this allows extracting a common stochastic growth trend and a common business cycle further analysis shows that both these components are subject to stronger influences from the us than from japan convergence towards these matured economies conspicuously appears since the 1990s

intranational business cycles in the united states abstract we established a comprehensive set of stylized facts for intranational business cycles across states and regions in the u s notable findings are that the cross correlations of our consumption measure is much less than that for output and the volatility of the real exchange rate between states is much less than that for output these findings are contrasted with the quantity and price anomalies found in international business cycle data additional results for labour and non labour earnings suggest that the observed amount of intratemporal risk sharing is quite limited as compared to that for intertemporal risk sharing

real output co movements in east asia any evidence for a monetary union of integration in the region would greatly shape the economic structure of each individual economy an d has direct implications for the effectiveness of domestic stabilisation policy and policy coordination this paper empiricall y examines the feasibility of forming a monetary union in east asia by assessing the real output co movements among these economies as suggested by the optimum curr ency area oca theory that losing monetary independence would be the major cost for adopting

work sharing and overtime this paper deals with the employment effects of reduced working time when firms endogenous response of overtime is considered the analysis distinguishes between fixed and profit maximizing levels of output as well as between interior and corner solutions it is shown that under plausible assumptions a reduction in working time is quite likely to be counterproductive as an employment promoting measure i introduction a reduction in working time has been proposed as a method of increasing employment through work sharing such proposals however often seem to build on an oversimplified view of the world where little consideration is given to various possible repercussions most economists therefore seem rather sceptical towards such proposals for more or less critical discussions see e g hart sloane 1979 charpin 1984 brunstad holm 1984 calmfors 1985 hoel 1986 1987 hoel vale 1986 and dreze 1987 none of these papers however takes into account that actual working time will differ from normal working time to the extent that there is overtime work the aim of this paper is to analyse how endogenous responses of overtime may affect the outcome with respect to employment of reducing the normal working time although overtime work currently accounts for only a minor proportion of total working time around three per cent in sweden we believe this to be an important channel since a major reduction in working time will represent a nonmarginal change which is likely to produce significant changes in established practices our results add to the doubts that a reduction in working time increases employment there has been some recent work on the relationship between normal working time and overtime cf hart 1984 fitzroy hart 1985

using alsace moselle local laws to build a difference in differences estimation strategy of the employment effects of the 35 hour workweek regulation in france france s 1998 implementation of the 35 hour workweek has been one of the greatest regulatory shocks on labor markets few studies evaluate the impact of this regulation because of a lack of identification strategies for historical reasons due to the way alsace moselle was returned to france in 1918 the implementation of france s 35 hour workweek was less stringent in that region than in the rest of the country which is confirmed by double and triple differences yet it shows no significant difference in employment with the rest of france which casts doubt on the effectiveness of this regulation

why is consumption so smooth for thirty years it has been accepted that consumption is smooth because permanent income is smoother than measured income this paper considers the evidence for the contrary position that permanent income is in fact less smooth than measured income so that the smoothness of consumption cannot be straightforwardly explained by permanent income theory the paper argues that in postwar u s quarterly data consumption is smooth because it responds with a lag to changes in income

testing for codependence of cointegrated variables we analyse nonstationary time series that do not only trend together in the long run but restore the equilibrium immediately in the period following a deviation while this represents a common serial correlation feature the framework is extended to codependence allowing for delayed adjustment we show which restrictions are implied for the moving average ma and vector error correction model vecm representations and put forward a generalized method of moments gmm test in addition for cases where the constraints can be uniquely imposed on a vecm a likelihood ratio test is proposed we apply the concept to us and european interest rate data examining the capability of the federal reserve bank fed and european central bank ecb to control overnight money market rates

comparisons of business cycles in the ec idiosyncracies and regularities annual data since 1960 and the real business cycle model as a guidance the evidence suggests that there are remarkable similarities between the business cycle pattern of these countries despite significant differences in the patterns of fiscal and monetary policies and the terms of trade we take this evidence to suggest that the type of shocks and the propagation mechanism is fairly similar across the ec countries hence the process of european integration under a set of uniform institutions and policies should not be a problem as far as the business cycle is concerned

the determination of wages employment and work hours in an economy with centralised wage setting sweden 1950 83 a key component of recent explanations for the growth in unemployme nt in western europe is a negative relation between wage rates and employment this paper examines the evidence for such a relationship for swedish manufacturing industry and also investigates the corresponding movements of hours of work the findings form the ingredients of a structural model of the labor market which is estimated using time series observations from 1951 t o 1983 the greater volatility of employment relative to earnings is measured by a specific parameter which in this model relates to the objectives of trade unions copyright 1988 by royal economic society

recent advances in modelling seasonality abstract in this paper we review recent developments in econometric modelling of economic time series with seasonality the prime focus is on econometric models which incorporate explicit descriptions of seasonal variation instead of removing this variation using a seasonal adjustment method this review centres around developments in seasonal unit root models and in periodic parameter models both in the univariate and multivariate context several empirical examples are used for illustration we also discuss several areas for further research

methodological and empirical issues in real business cycle theory abstract in this paper we argue that the major impact of the rbc literature has been to propose a new methodology for macroeconomics this methodology is distinguished first by the importance it attributes to the empirical description of the phenomena to be explained and second by the use of this description in conjunction with quantitative theorizing i e the construction of computable general equilibrium models whose characteristic statistics match those of the data in accordance with this approach we first report on the current state of knowledge concerning business cycle regularities and conclude that additional empirical effort is called for in order to arrive at the appropriate basis for theorizing we then examine the performance of existing models and evaluate the case for integrating monetary factors and demand shocks into them lastly we review the recent efforts to explain the employment variability puzzle and argue that the search for a solution naturally leads to the incorporation of significant non walrasian features into the rbc framework

common features in economics and finance an overview of recent developments this introductory article offers an overview of some developments in the common features literature since the publication of the seminal article by engle and kozicki in the journal of business economic statistics in 1993 with the aim of highlighting the unifying theme of the contributions in this volume

are shocks to tourism transitory at business cycle horizons the goal of this article is to propose a theoretical framework based on a macro model that can be used to examine the relative importance of permanent and transitory shocks in explaining variations in tourist expenditure and gross domestic product gdp at business cycle horizons we estimate the model for australia our findings reveal a common trend and common cycle relationship among tourist expenditure and gdp and the variance decomposition analysis of shocks reveals that at business cycle horizons permanent shocks explain the bulk of the variations in output while transitory shocks explain the bulk of the variations in tourist expenditure

swedish business cycles 1861 1988 abstract we examine swedish business cycle data for 1861 1988 in the time domain as well as in the frequency domain there is evidence of a business cycle in the form of considerable spectral mass for cycles between three and eight years the variability of the series varies considerably over time for most series it is highest in the inter war period relative variability is fairly stable over time cross section ratios between moving standard deviations for the series do not change much comovements are also stable over time correlation coefficients do not change much either

business cycles under monetary union a comparison of the eu and us reserve districts in the usa and the 15 countries that make up the eu the comparison is suggestive of what might be expected to emerge in the way of business cycle synchronization from a monetary union between the member states of the eu now simply non decimal denominations of the euro and the national central banks of the 11 are branches of the european system of central banks many prominent observers doubted that europe would ever reach this stage and many continue to believe that monetary union between such a large and dispar ate group of countries is fundamentally unsound a key element in the argu ments of many critics of emu is the degree of business cycle asynchronicity between the member states of the eu this paper contributes to the ongoing debate by documenting key differences and similarities between business cycles in the eu and business cycles in the 12 federal reserve districts in the united states the practice of looking to the us experience for insights into the problems and functioning of a monetary union has a long precedent in the literature on fixed exchange rates in general and in the literature on emu in particular for example in making an argument for fixed exchange rates rolnick and weber 1994 note that the usa can be viewed as having a system of fixed exchange rates between currencies issued by the 12 regional federal reserve banks they argue that the notes issued by the 12 banks are not strictly ident ical and that the difference between the notes creates the possibility that the united states could have a system of floating exchange rates among the 12 federal reserve districts 1 rolnick and weber go on to examine the features of the relationship among the 12 regional federal reserve banks that make a system of fixed exchange rates between them feasible in the process drawing lessons for how a monetary union among the countries of the eu might work the analysis in this paper complements earlier analyses in a number of ways the resurgence of interest in business cycle research over the past 20

the plucking model of business fluctuations revisited the recent surge of renewed interest in business cycles in general and real business cycles in particular brought to mind a plucking model of business fluctuations that i suggested some twenty five years ago but that has since sunk into complete oblivion 1 i was led to the model in the course of investigating the direction of influence between money and income did the common cyclical fluctuations in money and income reflect primarily the influence of money on income or of income on money one of the five kinds of evidence that i examined was the serial correlation of amplitudes of cycle phases 2 as i wrote is the magnitude of an expansion related systematically to the magnitude of the succeeding contraction does a boom tend on the average to be followed by a large contraction p 271 to find out i calculated rank difference correlations between measures of the amplitudes of expansions and successive contractions in three different series for the period 1879 to 1961 the three series were rate of change of the stock of money a physical index of general business and clearing debits as an indicator of dollar value change in general business similarly i asked the same question except starting with a contraction in the given series and correlating its amplitude with the amplitude of the succeeding expansion 3 the results were striking for all three series the correlation was trivial between the amplitude of an expansion and the amplitude of the succeeding contraction on the other hand for both the rate of change of the money stock and the physical index of general business the correlation was high and statistically significant between the amplitude of a contraction and the amplitude of the succeeding expansion for clearing debits this correlation too was low i concluded there appears to be no systematic connection between the size of an expansion and of the succeeding contraction whether size is measured by physical volume or by dollar value pp 272 73 on the other hand a large contraction in output tends to be followed on the average by a large business expansion a mild contraction by a mild expansion p 273 though that is not so for the dollar value of the expansion and contraction i went on this phenomenon if it should be confirmed by a fuller analysis of data for the united states and other countries would have important implications for the analysis of business cycles in general not solely for our monetary studies for one thing it would cast grave doubt on those theories that see as the source of a deep depression the excesses of the prior expansion the mises cycle theory is a clear example 4 for another it would raise serious questions about both the analytical models in terms of which most of us have come to approach the analysis of cycles and the statistical methods we use to analyze them our analytical models generally involve a conception of a self generating cycle in which each phase gives rise to the next and which may be kept going by a sequence of random shocks each giving rise to a series of damped perturbations the corresponding physical analogy is of an electrical network in which responses are described by sine waves the asymmetric serial correlation patter suggests that this analogy may be misleading that a better one is what can be termed a plucking model consider an elastic string stretched taut between two points on the underside of a rigid horizontal board and glued lightly to the board let the string be plucked at a number of points chosen more or less at random with a force that varies at random and then held down at the lowest point reached the result will be to produce a succession of apparent cycles in the string whose amplitudes depend on the force used in plucking the string the cycles are symmetrical about their troughs each contraction is of the same amplitude as the succeeding expansion

the real exchange rate and foreign direct investment in the united states relative wealth vs relative wage effects abstract there has been a significant correlation between u s inward foreign direct investment and the united states real exchange rate since the 1970s in this paper we examine the determinants of four measures of inward foreign direct investment to the united states from seven industrial countries over the period 1979 1991 we find strong evidence that relative wealth significantly affects u s inward foreign direct investment we find no evidence that relative wages have a significant impact on the determination of u s foreign direct investment

does decreasing working time reduce environmental pressures new evidence based on dynamic panel approach abstract there is a growing interest in the correlation between working time and environmental pressures but prior empirical studies were mostly focused on static methods within limited country groups to fill the gap this study aims to stimulate the discussion by distinguishing between different time periods for developed and developing country groups respectively in particular we contribute to a further understanding of the environmental effects of working time reduction policies by comparing the differences under the dynamic framework of system generalized method of moments we applied this dynamic panel regression approach for 55 countries worldwide over the period 1980 2010 and employing carbon emissions per capita as the environmental indicator in general results confirmed the significant relationship between hours of work and environmental impacts in developed economies although this is not the case for the developing counterparts interestingly the significant correlations for the developed country group turned from positive during the first sub period 1980 2000 to negative during the second sub period 2001 2010 connecting these results with previous literature we proposed the reasons of rebound energy use derived from certain leisure activities which were more energy intensive if excessive non working time provided

a simple and flexible dynamic approach to foreign direct investment growth the canada united states relationship in the context of free trade in the post war period the world economy has seen the rise and expansion of regional trading blocs and regional economic integration 1 the prime example has been the evolution of the european union since the early 1950s also significant has been the creation of the asia pacific economic cooperation area in 1989 and development of the north american free trade area dating also from 1989 this paper will focus on the canada united states relationship while the intentions of the partners to a free trade agreement are clear in the case of trade the effect on foreign direct investment fdi is ambiguous the question this paper addresses is that of how the north american free trade agreements have affected us foreign investment behaviour in canada

real exchange rate risk expectations and the level of direct investment four models of direct investment are analyzed assuming various relationships between foreign and domestic production the direct effect of risk adjusted expected real foreign currency appreciation is to lower foreign capital cost thus stimulating direct investment however when costs of other inputs are also affected induced productivity changes or output price changes may offset the direct effect reducing direct investment pooled estimation results for u s annual bilateral direct investment flows to five industrialized countries show significant reductions associated with expected appreciation of real foreign currency and significant increases associated with risk these results are consistent with the model where in response to risk the multinational firm reduces exports to the foreign country but offsets this somewhat by increasing foreign capital input and production

what moves oecd real interest rates this paper conducts a structural time series analysis of ex ante real interest rates of the five major oecd economies the relationships of rates to permanent and temporary real and nominal shocks appear to be qualitatively consistent with predictions of stochastic general equilibrium business cycle models u s real and nominal shocks are found to be the most important causes of persistence in rates but only nominal shocks cause dynamic movements that are coherent across all countries the rise in real interest rates in the early 1980s was mainly due to nominal shocks real shocks played little or no role

common cycles and common trends in the stock and oil markets evidence from more than 150 years of data abstract this paper investigates the role of permanent and transitory shocks within the framework of common cycles and common trends in explaining stock and oil prices we perform a multivariate variance decomposition analysis of monthly data on the west texas intermediate wti oil price and the s p 500 the dataset used in the study spans a long period of 150 years and therefore contains a rich history to examine both the short and long run comovement properties of oil and stock prices given that the oil and stock markets might comove both in the short and long run it is of interest to see the relative impacts of transitory and permanent shocks on both variables we find that log oil price and log s p 500 share a common stochastic trend for our full sample of september 1859 to july 2015 but a common cycle only exists during the post ww ii period full and post ww ii samples have quite different common feature estimates in terms of the impact of permanent and transitory shocks as measured by the impulse responses and forecast error variance decompositions we also find that in the short run oil is driven mostly by cycles transitory shocks and stock market is mostly driven by permanent shocks but permanent shocks dominate in the long run

how strong is co movement in employment over the business cycle evidence from state sector data abstract this study measures the extent of co movement in employment across states and sectors at business cycle frequencies the strength of co movement is quantified using the cohesion measure developed by croux forni and reichlin rev econ statist 83 2001 232 the data indicate that cohesion is generally positive for the state sector pairs although the distributions mass around relatively low values the results suggest that cohesion has risen over time and that cohesion increases with spatial aggregation evidence reveals that the measured degree of co movement is sensitive to the chosen periodicity of the data and that there is much greater cohesion across states for a given sector than across different sectors within a state an investigation into the sources of cross state variation in cohesion reveals that important determinants include the share of state employment in manufacturing the different effects of monetary policy actions on each state s employment and the degree of sectoral diversity within a state

trends and cycles in euro area real gdp this article examines the time series properties of real gross domestic product gdp in the euro area as a whole both prior to and after the adoption of the euro in january 1999 we employ the relatively recent optimal approximation band pass filter developed by christiano and fitzgerald 2003 in order to identify a eurozone business cycle we also utilize two alternative assumptions regarding the behaviour of the trend component of euro area real gdp the empirical results suggest that the single currency experiment appears to have reduced trend growth in the eurozone both ex ante during the maastricht nominal convergence phase and also ex post during the period 2001q1 to 2006q1 with respect to cyclical behaviour we identify a very robust measure of the eurozone business cycle in the post 1994 period which does not appear to be sensitive to the particular assumption made regarding the trend rate of growth of real gdp

the cyclical behavior of prices interpreting the evidence previous studies of the cyclical behavior of prices have found that the cross correlations between output and prices in post wwii u s data are generally negative these correlations h have been interpreted as being more consistent with supply driven models of business cycle fluctuations than with models that focus on demand shocks in this paper the authors show that the signs of price output correlations provide little information about the underlying shock for instance a simple keynesian model driven by demand shocks leads to negative correlations between these variables the authors results suggest that price output correlations may not be a particularly useful way to characterize the cyclical behavior of prices copyright 1995 by ohio state university press

regional income fluctuations common trends and common cycles this paper investigates trend and cycle dynamics in per capita income for the major u s regions during the 1956 1995 period cointegration and serial correlation common features information are used in jointly decomposing the series into trend and cycle components we find considerable differences in the volatility of regional cycles controlling for differences in volatility we find a great deal of comovement in the cyclical response for all regions but the far west possible sources underlying differences in regional cycles are explored such as the share of a region s income accounted for by manufacturing defense spending as a proportion of a region s income oil price shocks and the stance of monetary policy somewhat surprisingly we find that the share of manufacturing in a region seems to account for little of the variation in regional cycles relative to national cycles but manufacturing share differentially affects trend growth for four of the seven regions studied

working time regulation in france from 1996 to 2012 france which is often seen as an unusual country with a rigid 35 hour working week has experienced massive changes in its regulation of working time in recent decades including a progressive removal of 35 hour working week laws these changes have affected and continue to affect workplace organisation working conditions job creation productivity and wages the 35 hour working week policy represents a reduction in working time as well as a complex package that restructured french labour law and that opened up a great deal of space for social bargaining this paper provides a comprehensive analysis of the evolution of working time regulation and its political roots it discusses the studies evaluating the 35 hour working week and examines some of the basic consequences of reversing this policy since 2002 it also highlights unexplored lines of research on this topic

business cycle synchronization in the emu this article asks whether the business cycles of the eu countries have become more or less synchronized after the introduction of the euro our findings show that all countries in our eu sample are better synchronized with the emu wide economy in the post emu period than they were before the euro we also show that this increase in synchronization is present in all components of aggregate demand as well as two supply side variables but it is more pronounced in the trade components imports and particularly exports it is also shown that the increase in trade within the emu area is at least partly responsible for the increase in cyclical synchronization