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Identifying the Shocks behind Business Cycle Asynchrony in Euroland

Carsten Trenkler and Enzo Weber

No 12-11, Working Papers from University of Mannheim, Department of Economics

Abstract: This paper investigates which shocks drive asynchrony of business cycles in the euro area. Thereby, it unites two strands of literature, those on common features and on structural VAR analysis. In particular, we show that the presence of a common cycle implies collinearity of structural impulse responses. Several Wald tests are applied to the latter hypothesis. Results reveal that differences in the GDP dynamics in several peripheral countries compared to a euro zone core are triggered by idiosyncratic, and to a lesser extent also world, shocks. Additionally, real shocks prove relevant rather than nominal ones.

Keywords: Common cycles; euro area; impulse responses; structural VAR; Wald tes (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Date: 2012
New Economics Papers: this item is included in nep-eec and nep-mac
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https://madoc.bib.uni-mannheim.de/31708/1/Trenkler_Weber_11-12.pdf

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