International macroeconomic dynamics: A factor vector autoregressive approach

Fabio Bagliano and Claudio Morana

Economic Modelling, 2009, vol. 26, issue 2, 432-444

Abstract: In this paper international comovements among a set of key real and nominal macroeconomic variables in the US, UK, Canada, Japan and the Euro area have been investigated for the 1980-2005 period, using a factor vector autoregressive approach. We present evidence that comovements in macroeconomic variables do not concern only real activity, but are an important feature also of stock market returns, inflation rates, interest rates and, to a smaller extent, monetary aggregates. Both common sources of shocks and similar transmission mechanisms explain international comovements, with the only exception of Japan, where the idiosyncratic features seem to dominate. Finally, concerning the origin of global shocks, evidence of both global supply-side and demand-side disturbances is found.

Keywords: G7; International; business; cycle; Factor; vector; autoregressive; models; Common; factors (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (25)

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Related works:
Working Paper: International Macroeconomic Dynamics: A Factor Vector Autoregressive Approach (2006)
Working Paper: International Macroeconomic Dynamics: a Factor Vector Autoregressive Approach (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:26:y:2009:i:2:p:432-444

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