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On the role of domestic and international financial cyclical factors in driving economic growth

Billio, M. ; Donadelli, M. ; Livieri, G. ; Paradiso, A.

Applied economics, 2020-03, Vol.52 (11), p.1272-1297 [Periódico revisado por pares]

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Título:
On the role of domestic and international financial cyclical factors in driving economic growth
Autor: Billio, M. ; Donadelli, M. ; Livieri, G. ; Paradiso, A.
Assuntos: 20th century ; Business cycles ; cyclical fluctuations ; Economic growth ; financial factors ; Growth models ; International finance ; Productivity ; state-space model ; Stochastic growth model
É parte de: Applied economics, 2020-03, Vol.52 (11), p.1272-1297
Descrição: We investigate the effects of (domestic and international) financial cyclical factors on the US business cycle over the period 1890-2013 using an augmented stochastic version of the neoclassical growth model. In our setting, financial factors enter as determinants of the total factor productivity cyclical pattern. By means of static and dynamic estimations we find that (i) the inclusion of financial cyclical factors improves the model's performance; (ii) the sensitivity of economic growth to financial factors is time-varying; (iii) domestic financial factors have a key role in explaining short-run output fluctuations only in the first half of the 20th century; (iv) US business cycle fluctuations have been mainly driven by global financial factors (i.e., financial integration) over the last three decades. JEL CODES: O40, E32, C32
Editor: London: Routledge
Idioma: Inglês

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