2004/25 LEM Working Paper Series

Are Business Cycles All Alike?
A Bandpass Filter Analysis of Italian and US Cycles

Mauro Napoletano, Andrea Roventini, Sandro Sapio
Business Cycles, Bandpass Filter, Cross Correlations, Italian Economy, Macroeconomics.

  JEL Classifications
C22, E32.

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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