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

Pedro Jose Perez (), Denise Osborn () and Michael John Artis ()

Centre for Growth and Business Cycle Research Discussion Paper Series from Economics, The Univeristy of Manchester

Abstract: This paper examines the changing relationships between the G-7 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)
Date: 2003
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Working Paper: The International Business Cycle In A Changing World: Volatility And The Propagation Of Shocks (2004)
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Persistent link: http://EconPapers.repec.org/RePEc:man:cgbcrp:37

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