The 2012 paper
The international distribution of main “business cycle facts”, HP filter, figures in pdf
The international distribution of main “business cycle facts”, FD, figures in pdf
The following statistics are reported:
GDP volatility (s_y)
Volatility of investment (relative to GDP volatility) (s_iy)
Volatility of investment (relative to GDP volatility) (s_cy)
Volatility of the net export ratio (relative to GDP volatility) (s_nxyy)
First autocorrelation coefficient of GDP (ac_y)
Contemporaneous correlation of the net export per GDP ratio and Y (c_nxyy)
Contemporaneous correlation of consumption and Y (c_cy)
Contemporaneous correlation of investment and Y (c_iy)
Contemporaneous correlation of total employment and Y (c_ly)
All the numeric results in a stata file
Region: grouping into 6, and a duplication of records with a grouping into ind/eme
Region2: industrial/emerging
av_xxx refers to the average by region 2 in case region is eme or ind; otherwise, it refers to the average by region
spec_xxx and spec2_xxx contain only the US, Canada, Mexico and Argentina
To obtain the raw data (60+ countries, 18 series), the filtered series, or the complete set of business cycle statistics (volatility, relative volatility, cont. correlation and persistence of all series), please contact us directly.