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International Macroeconomic Dynamics: A Factor Vector Autoregressive Approach

  • Fabio C. Bagliano
  • Claudio Morana

In this paper international comovements among a set of key real and nominal macroeconomic variables for the G-7 countries have been investigated for the 1980- 2005 period, using a Factor Vector Autoregressive approach. We present evidence that comovements in macroeconomic variables do not concern only real activity, but are an important feature also of stock market returns, in‡ation rates, interest rates and, to a smaller extent, monetary aggregates. Both common sources of shocks and similar transmission mechanisms explain international comovements, with the only exception of Japan, where the idiosyncratic features seem to dominate. Finally, concerning the origin of global shocks, evidence of both global supply-side and demand-side disturbances is found.

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Paper provided by Collegio Carlo Alberto in its series Carlo Alberto Notebooks with number 32.

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Length: 41 pages
Date of creation: 2006
Handle: RePEc:cca:wpaper:32
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