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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: https://ub-madoc.bib.uni-mannheim.de/31708/1/Trenkler_Weber_11%2D12.pdf
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Paper provided by University of Mannheim, Department of Economics in its series Working Papers with number 12-11.

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Date of creation: 2012
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Handle: RePEc:mnh:wpaper:31708

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

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