Scandinavian Working Papers in Economics

SSE/EFI Working Paper Series in Economics and Finance,
Stockholm School of Economics

No 255: Historical Evidence on Business Cycles: The International Experience

U. Michael Bergman (), Michael D. Bordo () and Lars Jonung ()
Additional contact information
U. Michael Bergman: Department of Economics, Postal: Lund University , P.O. Box 7082 , S-22007 Lund , Sweden
Michael D. Bordo: Department of Economics, Postal: Rutgers University, New Jersey Hall, 75 Hamilton Street, New Brunswick, NJ 08901-1248, USA
Lars Jonung: Dept. of Economics, Stockholm School of Economics, Postal: Box 6501, S-113 83 Stockholm, Sweden

Abstract: This paper examines the characteristics of business cycles within and across thirteen countries for more than a century of observations adopting a monetary regime perspective. We search for empirical regularities of business cycle fluctuations during three monetary regimes; the classical gold standard, the interwar period and the post-World War II period. Our empirical results, based on bandpass filtered data, suggest that business cycle fluctuations have remained surprisingly stable across monetary regimes and across countries. In particular, the procyclical pattern for consumption, investment, exports and imports is stable across regimes and countries. We find a rise in the frequency of significant cyclical comovements across countries, possibly reflecting a recent rise in economic integration. Our evidence suggests that both the amplitude and the symmetry of business cycles have changed over time. The post-World War II period is marginally less volatile than the gold standard period while the interwar period is more volatile.

Keywords: Business cycles; monetary regimes; amplitude; symmetry and comovement of cycles

JEL-codes: E32

41 pages, September 3, 1998

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