Mondialisation et fluctuations des cycles économiques

knani, ramzi and fredj, ali (2010): Mondialisation et fluctuations des cycles économiques. Published in:

Abstract

In this work, we are interested in studying the profile synchronization between world economies before and after the concept of globalization and economic integration. Initially, an analysis of features of macroeconomic fluctuations is developed. Two approaches have been developed;the traditional approach and the modern approach. We will use the HP filter to extract the transient components time series considered and the method of Bry and Boschan (1971) for the determination of points reversals and for dating business cycles. In a second step, we will address the issue synchronization. The results show an average timing between the world economies (50%) and highest among economies of similar nature (65%).

• Item Type: MPRA Paper
• English Title: globalisation and business cycle fluctuation
• Language: French
• Keywords: cycles classiques, cycles modernes, filtre HP, datation, synchronisation, intégration économique.
• Subjects: E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations ; Cycles; F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F43 - Economic Growth of Open Economies

References

Baxter M. and King R.G. (1995): “Measuring Business-cycles: Approximate Band-Pass Filters for Economic Time Series.” Working Paper No. 5022. National Bureau of Economic Research.

Boehom Ernst A. (1998): “A Review of Some Methodological Issues in Identifying and Analysing Business Cycles.” Melbrourne Institute Working Paper No.26/98.

Boshan C. et Ebanks, Walter W. (1978): “The Phase-average Trend: A New Way of Measuring Economic Growth.” Proceedings of the Business and Economic Statistics Section, American Statistical association, pp. 332-5.

Bry G. et Boschan C. (1971): “Cyclical Analysis of Time Series: Selected Procedures and Computer Programs.” NBER, New York.

Burns et Mitchel (1946): “Measuring Business Cycles.” NBER, Ney York.

Chauvet M. et Hamilton J. D. (2005): “Dating Business Cycle Turning Points.” NSF-0215754.

Christiano Lawrence J. et Fitzgerald Terry J. 1999: “The Band Pass Filter.” NBER Working Paper No. 7257.

Duarte A. et Holden K. (2003): “The business cycle in the G-7 economies.” International Journal of forecasting, 19, 685-700.

Giles D.E.A. et Draeseke R. (2003): “Econometric modeling using fuzzy pattern recognition via the fuzzy cmeans algorithm”, in Giles D.E.A.(ed;), Computer-Aided Econometrics, Marcel Dekker, New York, 407-450.

Giles D.E.A. et Stroomer C.N. (2004): “Identifying the cycle of a macroeconomic time-series using fuzzy filtering”. Econometrics working paper EWP0406, ISSN 1485-6441.

Guay Alain et ST-Amant Pierre (2005): “Do the Hodrick-Prescott and Baxter-King filters provide a good approximation of Business cycles?” Annales d’économie et de statistique, N°77.

Harding D. 2002: “The Australian Business Cycle: a New View”. MPRA Paper No. 3698.

Harding D. et Pagan A. (1997): “The deinition, dating and duration of cycles.” Paper Presented to the Melbourne Institute Conference on Business Cycles: Policy and Analysis.

Harding D. et Pagan A. (1999): “Knowing the Cycle.” Melbrourne Institute Working Paper No.12, ISNN 1328- 4991.

Harding D. et Pagan A. (2002): “Dissecting the cycle: a methodological investigation.” Journal of Monetary Economics 49, pp. 365-381.

Harding D. et Pagan A. (2006): “Synchronization of cycles.” Journal of Econometrics, 132, pp.59-79.

Hodrick R.J. et Prescott E.C., (1980): “Post-War U.S. Business Cycles: An Empirical Investigation.” Working Paper No. 451.

King, Robert G. et Plosser, Charles I. (1984): “Money, Credit, and Prices in a Real Business Cycle.” Americain Economic Rview, Vol. 74, No. 3, pp. 363-80.

King, Robert G. et Plosser, Charles I. (1994): “Real Business Cycle and the test of the Adelmans.” Journal of Monetary Economics, Vol. 33, No. 2, pp. 405-438.

Lucas, Robert E. (1977): “Understanding Business Cycles.” Stabilization of the Domestic and International Economy, Carnegie-Rochester Conference Serias on Public Policy, Vol. 5, pp. 7-29.

Nelson Charles R. et Plosser Charles I. (1982): “Trends and Random Walks in Macroeconomic Time Series.” Journal of Moneatry Economics 10, pp. 139-162.

Paul Cashin (2004): “Caribbean Business Cycles.” International Monetary Fund Working Paper, WP/04/136.

Pedersen, T. M. (1998): “How Long are Business Cycles? Reconsidering Fluctuations and Growth”. Discussion Paper 98-24, University of Copenhagen, Institute of Economics.

Schlicht, E. (2004): “Estimating the Smoothing parameter in the so-called Hodrick-Prescott filter”. IZA Discussion Paper No. 1054.

Watson, M.W. (1994): “Business Cycle Durations and Postwar Stabilization of the U.S. Economy.” American Economic Review, No. 84, pp. 24-46.

Wecker (1979): “Predicting the Turning Points of a Time Series.” Journal of Business, No. 52, pp. 35-50.

Zarnowitz V. (1985). Recent work on business cycles in historical perspective a review of theories and evidence. Journal of Economic Literature, XXIII, 523–580.

Zarnowitz V. et Ozyildrim A., (2006): “Time Series decomposition and Measurement of Business Cycles, Trends and Growth Cycles”. Journal of Monetary Economics 53 1717-1739.