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Identifying the Shocks behind Business Cycle Asynchrony in Euroland

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  • Trenkler, Carsten
  • Weber, Enzo

Abstract

This paper investigates which shocks drive asynchrony of business cycles in the euro area. Thereby, it unites two strands of literature, those on common features and on structural VAR analysis. In particular, we show that the presence of a common cycle implies collinearity of structural impulse responses. Several Wald tests are applied to the latter hypothesis. Results reveal that differences in the GDP dynamics in several peripheral countries compared to a euro zone core are triggered by idiosyncratic, and to a lesser extent also world, shocks. Additionally, real shocks prove relevant rather than nominal ones.

Suggested Citation

  • Trenkler, Carsten & Weber, Enzo, 2012. "Identifying the Shocks behind Business Cycle Asynchrony in Euroland," Working Papers 12-11, University of Mannheim, Department of Economics.
    • Handle: RePEc:mnh:wpaper:31708
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    References listed on IDEAS

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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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