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Common Shocks, Common Dynamics, and the International Business Cycle

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  • Centoni, Marco

    ()

  • Cubadda, Gianluca
  • Hecq, Alain

Abstract

This paper develops an econometric framework to understand whether co-movements observed in the international business cycle are the consequences of common shocks or common transmission mechanisms. Then we propose a new statistical measure of the importance of domestic and foreign shocks over the national business cycle. We show how to decompose the business cycle effects of permanent-transitory shocks into those due to their domestic and foreign components. We apply our analysis to G7 outputs.

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Bibliographic Info

Paper provided by University of Molise, Dept. EGSeI in its series Economics & Statistics Discussion Papers with number esdp03007.

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Length: 21 pages
Date of creation: 04 Jul 2003
Date of revision:
Handle: RePEc:mol:ecsdps:esdp03007

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Keywords: Common Cycles; Cointegration; Domestic-Foreign Shocks; International Business Cycles; Permanent-Transitory Decomposition.;

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References

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