Common Shocks, Common Dynamics, and the International Business Cycle

Marco Centoni (), Gianluca Cubadda and Alain Hecq

No 106, CEIS Research Paper from Tor Vergata University, CEIS

Abstract: This paper proposes an econometric framework to assess the importance of common shocks and common transmission mechanisms in generating international business cycles. Then we show how to decompose the cyclical effects of permanent-transitory shocks into those due to their domestic and those due to foreign components. Our empirical analysis reveals that the business cycles of the US, Japan, Canada are clearly dominated by their domestic components. The Euro area is more sensitive to foreign shocks compared to the other three countries of our analysis.

Keywords: International business cycles; Permanent-transitory decomposition; Serial correlation common features; Frequency domain analysis. (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2008-07-07, Revised 2008-07-07
New Economics Papers: this item is included in nep-bec, nep-ecm, nep-mac and nep-opm
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Citations: View citations in EconPapers (8)

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Related works:
Journal Article: Common shocks, common dynamics, and the international business cycle (2007)
Working Paper: Common Shocks, Common Dynamics, and the International Business Cycle (2003)
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