Understanding Changes in International Business Cycle Dynamics

By James H. Stock, Mark W. Watson. 2005

235 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/26578edbb38f80471dc35b5a05897a8e6a48383e

Citations in the corpus

• Boom or Gloom? Examining the Dutch Disease in Two-Speed Economies (2014, unknown): “Kose et al. (2003) and Mumtaz et al. (2011) are more recent examples, while Stock and Watson (2005) provide a brief overview of the use of this type of models in economics.”
• The "great moderation'' and the US external imbalance (2006, unknown): “From Figure 1, it also emerges that, as noted, for example, by Stock and Watson (2005), a decline in business cycle volatility occurred in Japan and the EU too, although its magnitude is not as large or as uniform across frequencies as in the United States.”
• Financial Cycles: What? How? When? (2011, unknown): “See Stock and Watson (2005) about international aspects of the Great Moderation.”
• Understanding the Evolving Inflation Process (2007, unknown): “Stock and Watson (2005) found that this model provides a good characterization of real GDP growth rates for the G-7 countries for 1960-2002.”
• The Young, the Old, and the Restless: Demographics and Business Cycle Volatility (2009, unknown): “3 Using a similar approach, Craig Burnside (2000) arrives at a value of 6.66. Based on visual inspection of the HP filter’s transfer function, Marianne Baxter and Robert G. King (1999) recommend a value of ten.”
• The Role of Labor Markets for Euro Area Monetary Policy (2009, unknown): “We calibrate the model to the euro area as of the end of 2006.10 For individual euro area countries it is well documented that aggregate macroeconomic time series have become less volatile starting from the 1980s; see Stock and Watson (2005).”
• Disagreement Among Forecasters in G7 Countries (2012, unknown): “…part with time-varying volatility.13 Intuitively, the dynamics of xt are driven by a permanent 13 The same specification is used in Wright (2011) to model inflation; Stock and Watson (2002, 2005) propose variants of this model for GDP, consumption, investment, employment, and many other variables.”
• Measuring the frequency dynamics of financial connectedness and systemic risk (2015, unknown): “lly with increasing horizons in variance decompositions on similar data, we address the problem with spectral representations. Common shocks driving business cycles, which are conrmed by literature (Stock and Watson, 2005; Canova et al., 2007; Kose et al., 2008) will dominate the variance decomposit”