Domestic, Foreign or Common Shocks?

Stefania Fabrizio and Humberto Lopez

No 1996/107, IMF Working Papers from International Monetary Fund

Abstract: A stochastic general equilibrium model of the world economy is used to analyze the origin of international business cycles using data for Germany, Japan and the United States. The findings indicate that after 1973, common shocks play a major role in accounting for similarities in output fluctuations. However, trade interdependencies with the United States may have also played a very important role; more than 20 percent of output fluctuations of the German and Japanese economies could have been imported from the United States.

Keywords: WP; null hypothesis; world economy; transmission mechanism; productivity shock; output fluctuation; country j.; shock effect; n country; covariance matrix; Business cycles; Productivity; Consumption; Vector autoregression; Imports (search for similar items in EconPapers)
Pages: 22
Date: 1996-09-01
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