Breaks in the Variability and Comovement of G-7 Economic Growth

By Brian M. Doyle, Jon Faust. Review of Economics and Statistics, 2003

180 citations recorded by the source corpus.

This paper investigates breaks in the variability and comovement of output, consumption, and investment in the G-7 economies. In contrast with most other papers on comovement, we test for changes in comovement, allowing for breaks in mean and variance. Despite claims that rising integration among these economies has increased output correlations among them, we find no clear evidence of an increase in correlation of growth rates of output, consumption, or investment. This finding is true even for the United States and Canada, which have seen a tremendous increase in bilateral trade shares, and for the euro-area members of the G-7.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/940566589ed9241a9d5916d27f6bf8c9e99dc7c0

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Nicolas Vayatis
2. Laurent Oudre
3. Charles Truong
4. Shivani Agarwal
5. Cynthia Rudin

In Finance

1. Nicolas Vayatis
2. Laurent Oudre
3. Charles Truong

Citations in the corpus

• Selective review of offline change point detection methods (2020, methodology): “For instance, changes in several economic parameters of the G-7 growth have been investigated using a piecewise linear model and clinear,L1 [80].”
• HAVE NATIONAL BUSINESS CYCLES BECOME MORE SYNCHRONIZED (2003, unknown): “The empirical case against increased synchronization is made - 3 - forcefully by Doyle and Faust (2002), who analyze changes in the comovements among the growth rates of G-7 countries since 1971 and found no evidence for significant increases in output correlations over time, even for Canada and…”
• A review of change point detection methods (2018, background): “w that the predictive linear model of stock returns can change abruptly[110]. In addition, breaks in the“comovement” of severaleconomic parameters oftheG-7growthhavebeeninvestigatedusingthelinearmodel[43]. In[14], ithasbeenapplied on panel data. Example4(Autoregressive model). Piecewiseautoregressiv”
• Understanding Changes in International Business Cycle Dynamics (2005, unknown): “(Doyle and Faust 2002, 2005; Kose, Prasad, and Terrones 2003 ; Heathcote and Perri 2004) .”