 International propagation of shocks: A dynamic factor model using survey forecastsKajal Lahiri and Yongchen Zhao International Journal of Forecasting, 2019, vol. 35, issue 3, 929-947 Abstract: This paper studies the pathways for the propagation of shocks across the G7 and major Asia-Pacific countries using multi-horizon forecasts of real GDP growth from 1995 to 2017. We show that if the forecasts are efficient in the long run, the results obtained using these forecasts are comparable to those obtained from the actual outturns. We measure global business cycle connectedness and study the impacts of both country-specific shocks and common international shocks using a panel factor structural VAR model. Our results suggest that there is a strong convergence of business cycles within the group of industrialized countries, as well as within the group of developing economies during non-recessionary periods. In particular, we find an increased decoupling between the industrialized and developing economies after the 2008 recession. However, the direction of shock spillovers during recessions and other crisis periods varies, depending on the nature and origin of the episode. Keywords: GDP growth; Business cycle connectedness; Transmission of shocks; Common international shocks; Panel VAR model; Blue Chip Surveys (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:35:y:2019:i:3:p:929-947 DOI: 10.1016/j.ijforecast.2019.04.002 Access Statistics for this article International Journal of Forecasting is currently edited by R. J. Hyndman More articles in International Journal of Forecasting from Elsevier |
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