Identifying shocks to business cycles with asynchronous propagation

Carsten Trenkler and Enzo Weber

Empirical Economics, 2020, vol. 58, issue 4, No 13, 1815-1836

Abstract: Abstract This paper develops a methodology to investigate which shocks drive asynchrony of business cycles. It unites two strands of literature, those on common features and on structural VAR analysis. In particular, a lack of a common cycle between two GDPs can be traced back to at least one shock with non-collinear structural impulse responses. We apply a Wald test to the collinearity hypothesis. Empirical results on the eurozone reveal that differences in the business cycles in several peripheral countries compared to a eurozone core are triggered mainly by local shocks. Depending on the country, real or nominal shocks turn out to play a more important role.

Keywords: Common cycles; Eurozone; Impulse responses; Structural VAR; Wald test (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1007/s00181-018-1563-z

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