Bilateral Linkages and the International Transmission of Business Cycles
No 149, Working Papers from Department of Economics, College of William and Mary
This paper estimates the contributions of trade and financial linkages to the directed graph that describes the international propagation of macroeconomic shocks at the business cycle frequency. Among the findings: import and export intensity are asymmetrically associated with shock transmission; bilateral portfolio equity holdings are associated with comovement within the quarter but not between quarters; the import of goods used for capital formation is strongly associated with shock transmission both within and between quarters. The novel stylized facts refine the “trade-comovement” puzzle into the “trade-correlation” and the “trade-transmission puzzles, both of which are challenges for standard international business cycle models.
Keywords: International Business Cycles; International Panel VAR; Trade and Financial Integration; Comovement; International Real Business Cycle Model. (search for similar items in EconPapers)
JEL-codes: F41 F21 E32 C33 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:cwm:wpaper:149
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