Fields of Expertise

Time Series Econometrics/Nonlinear Modeling

Macroeconomics/International

Business Cycle Analysis/International

Research Papers

"The Dynamics of Permanent and Transitory Components in International Business Cycles" under review  working paper

The paper investigates the dynamics of permanent and transitory components that are common across seven developed nations of the world.  The common components are modeled to exhibit different behavior in the expansion and recession phases of international business cycles.  I employ a multivariate unobserved components model with Markov regime switching to measure the common components of international time series.  The model is estimated in its state-space representation by applying the Kalman filter and Kim’s (1994) approximate maximum likelihood algorithm.  I find that, in contrast to individual country’s business cycles, the international business cycle does not exhibit classical contraction and expansion phases. The international permanent component has two phases: a high-growth phase and a low-growth phase, and there is no evidence of an international transitory component.  I find that the switch from a high-growth regime to a low-growth regime occurs in the second quarter of 1973.  There are no further switches that occur from one regime to another.  I also find that among the seven developed nations examined, Japan is the most sensitive and Germany is the least sensitive to international permanent shocks. 

"The Relative Importance of Permanent and Transitory Components of Macroeconomic Time Series" with Christian J. Murray, University of Houston

In a recent paper, Morley, Nelson and Zivot (2003) provide a unified framework for decomposing integrated time series into permanent and transitory components.  We apply this decomposition to four U.S. time series for which there is strong evidence of a unit root.  Our results suggest that shocks to these macroeconomic time series are predominately permanent.  We also examine the consequences of using inappropriate methods of decomposing nonstationary time series into trend and cycle.  We find that these methods systematically overestimate the importance of transitory shocks.

"Driving Forces Behind International Business Cycle Fluctuations: Can One Identify Them?" with Katarina Juselius, University of Copenhagen

The study applies cointegrated VAR methodology to identify the long run structure of driving forces behind the international business cycles of the G7 countries.  The study shows that the seven countries share four stochastic trends, where the single pushing force of one of the trends is the US.  At the same time, the US is not influenced by permanent shocks of the other countries.  Shocks to the US are the only ones that have a permanent effect on the France and the UK.  The remaining three trends originate as collective stochastic shocks to Canada, France, Germany and Japan.  The UK has a transitory effect on the other countries.

You can access my papers on the Social Science Research Network: http://ssrn.com/author=513330