Business Cycles across Space and Time

We study the comovement of international business cycles in a time-series clustering model with regime switching. extend framework Hamilton and Owyang (2012) to include time-varying transition probabilities determine what drives simultaneous cycle turning points. find four groups, or “clusters,” countries that experience idiosyncratic recessions relative global cycle. In addition, we primary indicators be fluctuations term spread, equity markets, geopolitical risk. out-of-sample forecasting exercises, our is an improvement over standard benchmark models for both aggregate output growth country-level recessions.