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Briefly, we construct a measure of relative macroeconomic performance by first identifying the global business cycle using a simple factor model. We calculate seasonally adjusted quarter-over-quarter real GDP growth rates and extract the first principal component across the 46 economies in our sample. This single factor explains around 40 per cent of the variation in the average economy’s output, but with wide variation across economies. We then use the residuals from the principal component analysis as the measure of an economy’s idiosyncratic performance. For each economy, we sum these residuals from the first quarter of 2008 to the fourth quarter. | BANK FOR INTERNATIONAL SETTLEMENTS BIS Working Papers No 351 Weathering the financial crisis good policy or good luck by Stephen G Cecchetti Michael R King and James Yetman Monetary and Economic Department August 2011 JEL classification E65 F44 Keywords financial crisis principal components BIS Working Papers are written by members of the Monetary and Economic Department of the Bank for International Settlements and from time to time by other economists and are published by the Bank. The papers are on subjects of topical interest and are technical in character. The views expressed in them are those of their authors and not necessarily the views of the BIS. Copies of publications are available from Bank for International Settlements Communications CH-4002 Basel Switzerland E-mail publications@bis.org Fax 41 61 280 9100 and 41 61 280 8100 This publication is available on the BIS website www.bis.org . Bank for International Settlements 2011. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated. ISSN 1020-0959 print ISBN 1682-7678 online Weathering the financial crisis good policy or good luck Stephen G Cecchetti Michael R King and James Yetman1 Abstract The macroeconomic performance of individual countries varied markedly during the 2007-09 global financial crisis. While China s growth never dipped below 6 and Australia s worst quarter was no growth the economies of Japan Mexico and the United Kingdom suffered annualised GDP contractions of 5-10 per quarter for five to seven quarters in a row. We exploit this cross-country variation to examine whether a country s macroeconomic performance over this period was the result of pre-crisis policy decisions or just good luck. The answer is a bit of both. Better-performing economies featured a better-capitalised banking sector lower loan-to-deposit ratios a current account surplus high foreign exchange reserves and low levels and growth rates of private sector credit-to-GDP. In .
