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Common macroeconomic shocks and business cycle fluctuations in Euro area countries

Listed author(s):
  • Cavallo, Antonella
  • Ribba, Antonio

This paper investigates the dynamic effects of common macroeconomic shocks in shaping business cycle fluctuations in a group of Euro-area countries. In particular, by using the structural (near) VAR methodology, we investigate the effect of area-wide shocks, with particular attention to monetary policy shocks. The main conclusion is that: (a) contractionary monetary policy shocks cause similar recessionary effects in all countries; (b) as far as business cycle fluctuations are concerned, there is a separation into two distinct groups of countries, with a first group including the biggest European economies in which business cycle fluctuations are mainly explained by common, area-wide shocks and a second one, including Greece, Ireland and Portugal, in which the national shocks play, instead, a much greater role.

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File URL: http://www.sciencedirect.com/science/article/pii/S1059056015000581
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Article provided by Elsevier in its journal International Review of Economics & Finance.

Volume (Year): 38 (2015)
Issue (Month): C ()
Pages: 377-392

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Handle: RePEc:eee:reveco:v:38:y:2015:i:c:p:377-392
DOI: 10.1016/j.iref.2015.03.006
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620165

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