Transmission of business cycles: An empirical study of Japan, South Korea, Taiwan, and the United States

The objective of this dissertation is to show empirically the transmission of business cycles. The research begins with the building of South Korea growth cycle chronology which enables her to become a member nation of International Economic Indicators (IEI). Vector auto regression (VAR) method is employed to monitor the transmission of business cycles. IEI's composite, leading, and coincident indexes of 4 countries, i.e., U.S., Japan, S. Korea, and Taiwan become input to this reduced form of model. These 4 countries' business cycles are subjected to impulse response and decomposition of variance of the VAR model.;Preceeding the construction of indicators, available S. Korean time series are gathered and evaluated to determine necessary data series. The chosen time series are the counterpart of U.S. indicators as required for IEI method. The construction of composite index for leading and coincident indicators are the crux of the indicator method. The "growth program" which picks the turning points and the guidelines of National Bureau of Economic Research are used to construct reference growth cycle chronology.;VAR method is employed to monitor the transmission of business cycles. This method requires stationary time series. This method (VAR) allows us not only to define and utilize a measure of the relative importance of different shocks for each country's domestic aggregate economic fluctuations, but also to analyze the dynamic interactions of each country's aggregate fluctuations. We are thus able to discuss questions related to the transmission of foreign disturbances to domestic economies and to changing economic conditions. It is shown empirically that the U.S. is the most stable economy for herself and the dominant source of instability for other countries. The duration of response to shock is important in this empirical study. We present impulse response charts to provide this information. The variance decomposition tables show the origin of the shock, internal or external, and the varying composition of response to the shock over time.;This type of empirical study which combines IEI and VAR methods to monitor transmission of BC is not available in the economic literature.