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Identifying the Shocks behind Business Cycle Asynchrony in Euroland

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  • Trenkler, Carsten

    ()

  • Weber, Enzo

    ()

Abstract

This paper investigates which shocks drive asynchrony of business cycles in the euro area. Thereby, it unites two strands of literature, those on common features and on structural VAR analysis. In particular, we show that the presence of a common cycle implies collinearity of structural impulse responses. Several Wald tests are applied to the latter hypothesis. Results reveal that differences in the GDP dynamics in several peripheral countries compared to a euro zone core are triggered by idiosyncratic, and to a lesser extent also world, shocks. Additionally, real shocks prove relevant rather than nominal ones.

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File URL: http://epub.uni-regensburg.de/24774/1/Euroland.pdf
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Bibliographic Info

Paper provided by University of Regensburg, Department of Economics in its series University of Regensburg Working Papers in Business, Economics and Management Information Systems with number 466.

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Date of creation: 13 Jun 2012
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Handle: RePEc:bay:rdwiwi:24774

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Keywords: Common cycles; euro area; impulse responses; structural VAR; Wald test;

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  1. Dellas, Harris & Tavlas, George, 2010. "An Optimum Currency Area Odyssey," CEPR Discussion Papers 7645, C.E.P.R. Discussion Papers.
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