Global versus country-specific shocks and international business cycles

Martin Boileau, Michel Normandin () and Bruno Powo Fosso

Journal of Macroeconomics, 2010, vol. 32, issue 1, 1-16

Abstract: We study the contributions of global and country-specific shocks to international business cycles. To do so, we decompose technology and government expenditures for the US and an aggregate of non-US G7 countries into global and country-specific components using a Kalman-filter procedure. We then analyze how these components affect the fluctuations of key macroeconomic variables from two versions of an international real business cycle model. The complete markets version assumes that consumers trade a complete set of contingent assets, while the incomplete markets version assumes that consumers trade a non-contingent bond. Our analysis suggests that global and country-specific technology shocks are important, but that global and country-specific government expenditures shocks are not. Country-specific technology shocks explain most of the conventional within-country business cycle statistics, while global and country-specific technology shocks are both required to explain the cross-country correlations of output and consumption.

Keywords: General; equilibrium; Kalman; filter; Symmetric; economies (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (4)

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Related works:
Working Paper: Global versus Country-Specific Shocks and International Business Cycles (2006)
Working Paper: Global versus Country-Specific Shocks and International Business Cycles (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmacro:v:32:y:2010:i:1:p:1-16

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