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

Michael John Artis (), Denise Osborn () and Perez-Vazquez, Pedro

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: european integration; international business cycles; time variation; volatility (search for similar items in EconPapers)
JEL-codes: E32 F02 F43 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
Date: 2004-10
View citations in EconPapers

Downloads: (external link)
http://www.cepr.org/pubs/dps/DP4652.asp (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
Journal Article: The International Business Cycle in a Changing World: Volatility and the Propagation of Shocks in the G-7 (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cpr:ceprdp:4652

Ordering information: This working paper can be ordered from
http://www.cepr.org/pubs/dps/DP4652.asp

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers
Address: Centre for Economic Policy Research, 53--56 Great Sutton Street, London EC1V 0DG
Series data maintained by ().