Comovements in the real activity of developed and emerging economies

A test of global versus specific international factors

Bibliographic Data

ID21653527
AuthorsAntoine Djogbenou (0000-0001-5645-3824, York University, corresponding author), Antoine A Djogbenou (Department of Economics York University Toronto, Ontario Canada)
Year2020
Volume35
Issue3
Pages344-370
Publication date2020-04-01
Open AccessYes
TypeARTICLE
VenueJournal of Applied Econometrics (JOURNAL)
Journal identifiersISSN: 1099-1255 • E-ISSN: 0883-7252
PublisherWiley (PUBLISHER • GB)
DOI10.1002/jae.2749
OpenAlexW2792013963
LanguageEN
Citations received4
References cited19

Although globalization has shaped the world economy in recent decades, emerging economies have experienced impressive growth compared to developed economies, suggesting specific comovements within developed and emerging business cycles. Using observed developed and emerging real economy activity variables, we investigate whether the latter assertion can be supported by observed data. Based on a two‐level factor model, we assume these activity variables can be decomposed into global components, emerging or developed common components, and idiosyncratic national shocks. We propose a statistical test for the null hypothesis of a one‐level specification, where it is irrelevant to distinguish between emerging and developed latent factors against the two‐level alternative. This paper provides a theoretical justification and Monte Carlo simulations that document the testing procedure. An application of the test to various data sets of developed and emerging countries leads to strong statistical evidence of specific comovements within these two groups

Assertion · Econometrics · Economics · Emerging markets · Globalization · Macroeconomics · Null hypothesis · Statistical hypothesis testing · Statistics · Computer Science · Global Financial Crisis and Policies · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact

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