 Business cycle comovement in the G-7: common shocks or common transmission mechanisms?Fabio Bagliano and Claudio Morana Applied Economics, 2010, vol. 42, issue 18, 2327-2345 Abstract: What are the sources of macroeconomic comovement among G-7 countries? Two main candidate explanations may be singled out: common shocks and common transmission mechanisms. In the article it is shown that they are complementary, rather than alternative, explanations. By means of a large-scale Factor Vector Autoregressive (FVAR) model, allowing for full economic and statistical identification of all global and idiosyncratic shocks, it is found that both common disturbances and common transmission mechanisms of global and country-specific shocks account for business cycle comovement in the G-7 countries. Moreover, spillover effects of foreign idiosyncratic disturbances seem to be a less important factor than the common transmission of global or domestic shocks in the determination of international macro-economic comovements. Date: 2010 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:42:y:2010:i:18:p:2327-2345 Ordering information: This journal article can be ordered from DOI: 10.1080/00036840701858067 Access Statistics for this article Applied Economics is currently edited by Anita Phillips More articles in Applied Economics from Taylor & Francis Journals |
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