Country-specific and global shocks in the business cycle

Daniel Gross

No 2001/11, CFS Working Paper Series from Center for Financial Studies (CFS)

Abstract: Industrial production in G7 countries is assumed to be driven by two exogenous disturbances. Those disturbances are identified in a VAR model so they can be interpreted as countryspecific and global supply shocks. The dynamic properties of the model are analyzed and the relative importance of each shock is measured. It is shown that the VAR model matches most of the theoretical predictions of standard intertemporal open-economy models. The identified structural disturbances are analyzed with regard to their impact on the current account and investment.

Keywords: Country-Specific and Global Shocks; VAR; RBC (search for similar items in EconPapers)
JEL-codes: E32 F41 (search for similar items in EconPapers)
Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:cfswop:200111

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