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The transmission mechanism of business cycles among Germany, Japan, the UK and the USA

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  • Shigeyuki Hamori

Abstract

The study analyses the interdependent relationships of business cycles among four major countries using LA-VAR methods. The results are compared with results obtained using a standard VAR model. For the total sample (1962-1995), it is found that the economies of individual countries move independently and that inter-dependence is weak. However, causality from the USA to Japan, and from Japan to Germany can be observed. It is also found that the ripple effect differs in the first (1962-1973) and second (1973-1995) sample periods. A change in the international ripple effect on the business cycle may have occurred at the time of the first oil crisis. These results are almost robust to the empirical techniques employed in the analysis.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics.

Volume (Year): 32 (2000)
Issue (Month): 4 ()
Pages: 405-410

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Handle: RePEc:taf:applec:v:32:y:2000:i:4:p:405-410

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Cited by:
  1. Devanthran, Haritharan, 2009. "Interdependence of SAARC-7 countries: an empirical study of business cycles," MPRA Paper 32798, University Library of Munich, Germany.
  2. Narayan, Paresh Kumar, 2008. "Understanding the importance of permanent and transitory shocks at business cycle horizons for the UK," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(12), pages 2879-2888.
  3. Hsieh, Kunlin & Hsieh, Yuching & Hamori, Shigeyuki, 2010. "The interdependence of Taiwanese and Japanese stock prices," MPRA Paper 21475, University Library of Munich, Germany.
  4. Shigeyuki Hamori & Yu-Ching Hsieh & Wan-Jun Yao, 2007. "An Empirical Analysis about Population, Technological Progress, and Economic Growth in Taiwan," Economics Bulletin, AccessEcon, vol. 15(23), pages 1-13.
  5. repec:ebl:ecbull:v:15:y:2007:i:23:p:1-13 is not listed on IDEAS

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