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Common shocks, common dynamics, and the international business cycle

  • Centoni, Marco
  • Cubadda, Gianluca
  • Hecq, Alain

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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Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 24 (2007)
Issue (Month): 1 (January)
Pages: 149-166

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Handle: RePEc:eee:ecmode:v:24:y:2007:i:1:p:149-166
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30411

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  8. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 393-95, October.
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  10. Dufourt, 2005. "Demand and productivity components of business cycles: Estimates and implications," Macroeconomics 0501013, EconWPA, revised 08 Sep 2005.
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