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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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File URL: http://web.unimol.it/progetti/repec/mol/ecsdps/ESDP03007.pdf
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Paper provided by University of Molise, Dept. EGSeI in its series Economics & Statistics Discussion Papers with number esdp03007.

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Length: 21 pages
Date of creation: 04 Jul 2003
Date of revision:
Handle: RePEc:mol:ecsdps:esdp03007
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  12. Anderson, Heather M. & Vahid, Farshid, 1998. "Testing multiple equation systems for common nonlinear components," Journal of Econometrics, Elsevier, vol. 84(1), pages 1-36, May.
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  14. Dufourt, 2005. "Demand and productivity components of business cycles: Estimates and implications," Macroeconomics 0501013, EconWPA, revised 08 Sep 2005.
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  19. Kwark, Noh-Sun, 1999. "Sources of international business fluctuations: Country-specific shocks or worldwide shocks?," Journal of International Economics, Elsevier, vol. 48(2), pages 367-385, August.
  20. Cubadda, Gianluca, 2004. "A Reduced Rank Regression Approach to Coincident and Leading Indexes Building," Economics & Statistics Discussion Papers esdp04022, University of Molise, Dept. EGSeI.
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  25. Canova, Fabio & Marrinan, Jane, 1998. "Sources and propagation of international output cycles: Common shocks or transmission?," Journal of International Economics, Elsevier, vol. 46(1), pages 133-166, October.
  26. Centoni, Marco & Cubadda, Gianluca, 2003. "Measuring the business cycle effects of permanent and transitory shocks in cointegrated time series," Economics Letters, Elsevier, vol. 80(1), pages 45-51, July.
  27. Jordi Gali, 1996. "Technology, Employment, and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations," NBER Working Papers 5721, National Bureau of Economic Research, Inc.
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  36. repec:fgv:epgrbe:v:47:n:2:a:1 is not listed on IDEAS
  37. Hecq, Alain & Palm, Franz C & Urbain, Jean-Pierre, 2000. " Permanent-Transitory Decomposition in VAR Models with Cointegration and Common Cycles," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 62(4), pages 511-32, September.
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