The International Business Cycle in a Changing World: Volatility and the Propagation of Shocks in the G-7

Michael Artis, Denise Osborn and Pedro Perez-Vazquez

No 4652, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: This Paper examines the changing relationships between the G7 countries through VAR models for the quarterly growth rates, estimated both over sub-periods and using a rolling data window. Six trivariate models are estimated, all of which include the US and a European (E15) aggregate. In relative terms, the conditional volatility of E15 growth has declined more since 1980 than the well-documented decline for the US. The propagation of shocks has also changed, with the volatility and propagation effects separated by applying shocks of pre-1980 magnitude to VARs estimated over various periods. Rolling estimation reveals that E15 has a steadily increasing impact on the US economy over time, while the effects of the US on Europe have been largest during the 1970s and the late 1990s.

Keywords: International business cycles; European integration; Time variation; Volatility (search for similar items in EconPapers)
JEL-codes: E32 F02 F43 (search for similar items in EconPapers)
Date: 2004-10
New Economics Papers: this item is included in nep-mac
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Journal Article: The International Business Cycle in a Changing World: Volatility and the Propagation of Shocks in the G-7 (2006)
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