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 Economics, The Univeristy of Manchester in its series Centre for Growth and Business Cycle Research Discussion Paper Series with number 37.
Length: 36 pages
Date of creation: 2003
Date of revision:
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Web page: http://www.socialsciences.manchester.ac.uk/subjects/economics/our-research/centre-for-growth-and-business-cycle-research/
More information through EDIRC
International business cycles; European integration; time variation; volatility;
Other versions of this item:
- Denise Osborn & Pedro Perez & Michael Artis, 2004. "The International Business Cycle In A Changing World: Volatility And The Propagation Of Shocks," Royal Economic Society Annual Conference 2004 138, Royal Economic Society.
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