International business cycle spillovers since the 1870s

摘要

This article considers the evolution of international business cycle interdepen-dencies among 27 developed and developing countries since the beginning of 1870s, utilizing the generalized vector autoregressive (VAR)-based spillover index of Diebold and Yilmaz (2012), which allows the construction of a time-varying measure of business cycle spillovers. We find that, on average, 65% of the forecast error variance of the 27 countries' business cycle shocks is due to international spillovers. However, the magnitude of international business cycle spillovers varies considerably over time. There is a clear increasing trend since the end of World War Ⅱ and until the mid-1980s. After that, international business cycle interdependencies declined during the period that was dubbed the Great Moderation and stabilized around the beginning of the twenty-first century. During the Great Recession of 2008-2009, international business cycle spillovers increased to unprecedented levels. Finally, developed countries are consistently ranked as net transmitters of cyclical shocks to developing counties throughout the sample.