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Bilateral Linkages and the International Transmission of Business Cycles

Author Info

  • Lance Kent

    ()

    (Department of Economics, College of William and Mary)

Abstract

This paper estimates the contributions of trade and financial linkages to the directed graph that describes the international propagation of macroeconomic shocks at the business cycle frequency. Among the findings: import and export intensity are asymmetrically associated with shock transmission; bilateral portfolio equity holdings are associated with comovement within the quarter but not between quarters; the import of goods used for capital formation is strongly associated with shock transmission both within and between quarters. The novel stylized facts refine the “trade-comovement” puzzle into the “trade-correlation” and the “trade-transmission puzzles, both of which are challenges for standard international business cycle models.

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File URL: http://economics.wm.edu/wp/cwm_wp149_rev1.pdf
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Paper provided by Department of Economics, College of William and Mary in its series Working Papers with number 149.

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Length: 57 pages
Date of creation: 15 Mar 2014
Date of revision:
Handle: RePEc:cwm:wpaper:149
Contact details of provider: Postal:
P.O. Box 8795, Williamsburg, VA 23187-8795

Phone: (757) 221-4311
Fax: (757) 221-2390
Web page: http://www.wm.edu/economics/

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Keywords: International Business Cycles; International Panel VAR; Trade and Financial Integration; Comovement; International Real Business Cycle Model.;

Find related papers by JEL classification:

  • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
  • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
  • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
  • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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