Download full text
(370.6Kb)
Citation Suggestion
Please use the following Persistent Identifier (PID) to cite this document:
https://nbn-resolving.org/urn:nbn:de:0168-ssoar-256921
Exports for your reference manager
Business cycle comovement in the G-7: common shocks or common transmission mechanisms?
[journal article]
Abstract What are the sources of macroeconomic comovement among G-7 countries? Two main candidate explanations may be singled out: common shocks and common transmission mechanisms. In the paper it is shown that they are complementary, rather than alternative, explanations. By means of a large-scale factor ve... view more
What are the sources of macroeconomic comovement among G-7 countries? Two main candidate explanations may be singled out: common shocks and common transmission mechanisms. In the paper it is shown that they are complementary, rather than alternative, explanations. By means of a large-scale factor vector autoregressive (FVAR) model, allowing for full economic and statistical identification of all global and idiosyncratic shocks, it is found that both common disturbances and common transmission mechanisms of global and country-specific shocks account for business cycle comovement in the G-7 countries. Moreover, spillover effects of foreign idiosyncratic disturbances seem to be a less important factor than the common transmission of global or domestic shocks in the determination of international macroeconomic comovements.... view less
Classification
Economic Statistics, Econometrics, Business Informatics
Political Economy
Free Keywords
business cycle comovement; factor vector autoregressive model; transmission mechanisms; C32; E32
Document language
English
Publication Year
2010
Page/Pages
p. 2327-2345
Journal
Applied Economics, 42 (2010) 18
DOI
https://doi.org/10.1080/00036840701858067
Status
Postprint; peer reviewed
Licence
PEER Licence Agreement (applicable only to documents from PEER project)