Domestic Versus International Determinants Of European Business Cycles: A GVAR Approach

Melisso Boschi (), Massimiliano Marzo and Simone Salotti

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: We investigate the sources of macroeconomic (output and inflation) variability in selected European countries within and outside the European Monetary Union: Germany, Italy, Austria, the UK and Poland. Using quarterly data from 1985:1 to 2005:4, we estimate a Global Vector Autoregressive (GVAR) model that includes fifteen countries and regions, covering more than 90 per cent of the World GDP. We find that domestic factors explain most of the macroeconomic variability over the short horizon, i.e. from zero to four quarters, but become progressively dominated by international ones at larger horizons. Regional factors appear to be particularly important. As for output, we detect no significant differences between countries currently members of the European Monetary Union and non-members. As for inflation, on the contrary, regional factors are more influential than those of the rest of the world for the EMU member countries, differently from non-members..

Keywords: Business cycle; inflation; European Monetary Union; Global VAR (GVAR) (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2013-05
New Economics Papers: this item is included in nep-eec, nep-mac and nep-opm
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Domestic versus international determinants of European business cycles: a GVAR approach (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2013-28

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