Business Cycles across Space and Time
研究国际商业周期的同步性，使用带体制转换的时间序列聚类模型，发现四组国家经历与全球周期不同的衰退，并识别出期限利差、股票市场和地缘政治风险是国际衰退的主要指标。
Abstract We study the comovement of international business cycles in a time‐series clustering model with regime switching. We extend the framework of Hamilton and Owyang (2012) to include time‐varying transition probabilities to determine what drives simultaneous business cycle turning points. We find four groups, or “clusters,” of countries that experience idiosyncratic recessions relative to the global cycle. In addition, we find the primary indicators of international recessions to be fluctuations in the term spread, equity markets, and geopolitical risk. In out‐of‐sample forecasting exercises, our model is an improvement over standard benchmark models for forecasting both aggregate output growth and country‐level recessions.