IDEAS home Printed from https://ideas.repec.org/p/wrk/wrkemf/04.html
   My bibliography  Save this paper

Economic Sentiment, International Interdependence and Output Dynamics in the G7

Author

Listed:
  • Garratt, Anthony

    (Warwick Business School, University of Warwick)

  • Lee, Kevin

    (University of Nottingham)

  • Shields, Kalvinder

    (Department of Economics, University of Melborne)

Abstract

Output dynamics in the G7 are characterised using a Global VAR model of countries' actual outputs and survey-based measures of their expected outputs. A variance-decomposition method is applied to examine the importance of global-versus-national effects and of fundamentals-versus-sentiment effects in business cycle fluctuations. The first decomposition highlights the importance of global effects, with global and national effects explaining on average, 60% and 40% of the persistent movements in countries' output respectively. Fundamentals dominate in the second decomposition but the analysis finds a substantial role for sentiment which explains 30% of the persistent movements in output on average.

Suggested Citation

  • Garratt, Anthony & Lee, Kevin & Shields, Kalvinder, 2013. "Economic Sentiment, International Interdependence and Output Dynamics in the G7," EMF Research Papers 04, Economic Modelling and Forecasting Group.
  • Handle: RePEc:wrk:wrkemf:04
    as

    Download full text from publisher

    File URL: http://www2.warwick.ac.uk/fac/soc/wbs/subjects/emf/research/papers/economic_sentiment_international_interdependence_and_output.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Anthony Garratt & Kevin Lee & Kalvinder Shields, 2014. "Forecasting Global Recessions in a GVAR Model of Actual and Expected Output in the G7," Discussion Papers 2014/06, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wrk:wrkemf:04. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ana Galv√£o). General contact details of provider: https://edirc.repec.org/data/emwaruk.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.