Measuring the Sources of Cyclical Fluctuations in the G7 Economies
AbstractWe analyze herein the importance of four types of shocks in contributing to the business cycles of the G7 economies. After disentangling the common permanent and transitory shocks in the G7 outputs, we identify the domestic and foreign components of such shocks for each country. This provides us with quite a flexible palette for understanding the degree of openness of the G7 countries, useful information for the analysis of the strengths and weaknesses of each national economy. Our empirical analysis reveals that the cycles of most of the G7 outputs are dominated by their domestic components and that the foreign components are almost entirely due to permanent shocks.
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Bibliographic InfoPaper provided by University of Molise, Dept. SEGeS in its series Economics & Statistics Discussion Papers with number esdp06028.
Length: 10 pages
Date of creation: 28 Apr 2006
Date of revision:
International business cycles; Permanent-Transitory decompositions; serial correlation common features; Frequency domain analysis.;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-05-06 (All new papers)
- NEP-CBA-2006-05-06 (Central Banking)
- NEP-MAC-2006-05-06 (Macroeconomics)
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