Business Cycle Comovement in the G-7: Common Shocks or Common Transmission Mechanisms?

Fabio Bagliano and Claudio Morana

No 40, Carlo Alberto Notebooks from Collegio Carlo Alberto

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 paper 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 macroeconomic comovements.

Keywords: business cycle comovement; factor vector autoregressive model; transmission mechanisms. (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2007
New Economics Papers: this item is included in nep-bec, nep-ets and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.carloalberto.org/wp-content/uploads/2018/11/no.40.pdf (application/pdf)

Related works:
Journal Article: Business cycle comovement in the G-7: common shocks or common transmission mechanisms? (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cca:wpaper:40

Access Statistics for this paper

More papers in Carlo Alberto Notebooks from Collegio Carlo Alberto Contact information at EDIRC.
Bibliographic data for series maintained by Giovanni Bert ().