The International Business Cycle In A Changing World: Volatility And The Propagation Of Shocks
AbstractThis paper examines the changing relationships between the G-7 countries through VAR models for the quarterly growth rates, estimated both over sub-periods and using a rolling data window. Six trivariate models are estimated, all of which include the US and a European (E15) aggregate. In relative terms, the conditional volatility of E15 growth has declined more since 1980 than the well-documented decline for the US. The propagation of shocks has also changed, with the volatility and propagation effects separated by applying shocks of pre-1980 magnitude to VARs estimated over various periods. Rolling estimation reveals that E15 has a steadily increasing impact on the US economy over time, while the effects of the US on Europe have been largest during the 1970s and the late 1990s.
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Bibliographic InfoPaper provided by Royal Economic Society in its series Royal Economic Society Annual Conference 2004 with number 138.
Date of creation: 17 Sep 2004
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Other versions of this item:
- P J Perez & D R Osborn & M Artis, 2003. "The International Business Cycle in a Changing World: Volatility and the Propagation of Shocks," Centre for Growth and Business Cycle Research Discussion Paper Series 37, Economics, The Univeristy of Manchester.
- NEP-ALL-2004-09-30 (All new papers)
- NEP-FIN-2004-09-30 (Finance)
- NEP-MAC-2004-09-30 (Macroeconomics)
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