Common Shocks, Common Dynamics, and the International Business Cycle

Marco Centoni (), Gianluca Cubadda and Alain Hecq

Economics & Statistics Discussion Papers from University of Molise, Department of Economics

Abstract: This paper develops an econometric framework to understand whether co-movements observed in the international business cycle are the consequences of common shocks or common transmission mechanisms. Then we propose a new statistical measure of the importance of domestic and foreign shocks over the national business cycle. We show how to decompose the business cycle effects of permanent-transitory shocks into those due to their domestic and foreign components. We apply our analysis to G7 outputs.

Keywords: Common Cycles; Cointegration; Domestic-Foreign Shocks; International Business Cycles; Permanent-Transitory Decomposition. (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2003-07-04
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-fin and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Related works:
Working Paper: Common Shocks, Common Dynamics, and the International Business Cycle (2008)
Journal Article: Common shocks, common dynamics, and the international business cycle (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:mol:ecsdps:esdp03007

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