2004/25 | LEM Working Paper Series | |
Are Business Cycles All Alike? A Bandpass Filter Analysis of Italian and US Cycles |
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Mauro Napoletano, Andrea Roventini, Sandro Sapio |
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Keywords | ||
Business Cycles, Bandpass Filter, Cross Correlations,
Italian Economy, Macroeconomics.
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JEL Classifications | ||
C22, E32.
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Abstract | ||
In this paper, we apply the bandpass filter to the main Italian and US
macroeconomic variables, we estimate cross-correlations with respect
to a benchmark indicator of the business cycle, and we compare results
with previous empirical analyses. The aim
is to investigate on the existence of specific patterns and more general
regularities, in order to provide further insights as to what facts
macroeconomic theories are supposed to predict and explain, and new
hints at the underlying generating mechanisms.
Our results underline the existence of significant specificities of the
Italian business cycle with respect to the US.
Certain macroeconomic relations - such as those between consumption,
investments, exports, stock market variables, and the real GDP
- do not robustly hold. This is a clear signal that which variables
prompt and which respond to business cycles depends on country-
specific characteristics.
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