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Common macroeconomic shocks and business cycle fluctuations in Euro area countries

Antonella Cavallo () and Antonio Ribba ()

International Review of Economics & Finance, 2015, vol. 38, issue C, 377-392

Abstract: This paper investigates the dynamic effects of common macroeconomic shocks in shaping business cycle fluctuations in a group of Euro-area countries. In particular, by using the structural (near) VAR methodology, we investigate the effect of area-wide shocks, with particular attention to monetary policy shocks. The main conclusion is that: (a) contractionary monetary policy shocks cause similar recessionary effects in all countries; (b) as far as business cycle fluctuations are concerned, there is a separation into two distinct groups of countries, with a first group including the biggest European economies in which business cycle fluctuations are mainly explained by common, area-wide shocks and a second one, including Greece, Ireland and Portugal, in which the national shocks play, instead, a much greater role.

Keywords: Business cycle fluctuations; Euro area; Common shocks; Near-structural VARs (search for similar items in EconPapers)
JEL-codes: E31 C32 (search for similar items in EconPapers)
Date: 2015
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Related works:
Working Paper: Common Macroeconomic Shocks and Business Cycle Fluctuations in Euro Area Countries (2014) Downloads
Working Paper: Common Macroeconomic Shocks and Business Cycle Fluctuations in Euro Area Countries (2014) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:38:y:2015:i:c:p:377-392

DOI: 10.1016/j.iref.2015.03.006

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