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Common Shocks, Common Dynamics, and the International Business Cycle

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Abstract

This paper proposes an econometric framework to assess the importance of common shocks and common transmission mechanisms in generating international business cycles. Then we show how to decompose the cyclical effects of permanent-transitory shocks into those due to their domestic and those due to foreign components. Our empirical analysis reveals that the business cycles of the US, Japan, Canada are clearly dominated by their domestic components. The Euro area is more sensitive to foreign shocks compared to the other three countries of our analysis.

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File URL: ftp://www.ceistorvergata.it/repec/rpaper/RP106.pdf
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Bibliographic Info

Paper provided by Tor Vergata University, CEIS in its series CEIS Research Paper with number 106.

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Length: 27 pages
Date of creation: 07 Jul 2008
Date of revision: 07 Jul 2008
Handle: RePEc:rtv:ceisrp:106

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Postal: CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma
Phone: +390672595601
Fax: +39062020687
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Web page: http://www.ceistorvergata.it
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Postal: CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma
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Web: http://www.ceistorvergata.it

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Keywords: International business cycles; Permanent-transitory decomposition; Serial correlation common features; Frequency domain analysis.;

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References

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