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Common Shocks, Common Dynamics, and the International Business Cycle
Marco Centoni () and
Gianluca Cubadda ()
Alain Hecq Economics & Statistics Discussion Papers from University of Molise, Dept. SEGeS
This paper develops an econometric framework to understand whether co-movements observed in the international business cycle are the consequences of common shocks or common transmission mechanisms. Then we propose a new statistical measure of the importance of domestic and foreign shocks over the national business cycle. We show how to decompose the business cycle effects of permanent-transitory shocks into those due to their domestic and foreign components. We apply our analysis to G7 outputs.
Keywords: Common Cycles; Cointegration; Domestic-Foreign Shocks; International Business Cycles; Permanent-Transitory Decomposition. (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-fin and nep-mac
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Downloads: (external link) http://web.unimol.it/progetti/repec/mol/ecsdps/ESDP03007.pdf (application/pdf)
Related works: Working Paper: Common Shocks, Common Dynamics, and the International Business Cycle (2008) Journal Article: Common shocks, common dynamics, and the international business cycle (2007) Working Paper: Common Shocks, Common Dynamics, and the International Business Cycle (2007) This item may be available elsewhere in EconPapers: Search for items with the same title.
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Persistent link: http://EconPapers.repec.org/RePEc:mol:ecsdps:esdp03007
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