More documents from Morana, Claudio; Bagliano, Fabio C.
More documents from Applied Economics

Export to your Reference Manger

Please Copy & Paste



Bookmark and Share

Business cycle comovement in the G-7: common shocks or common transmission mechanisms?

[journal article]

Morana, Claudio; Bagliano, Fabio C.

fulltextDownloadDownload full text

(371 KByte)

Citation Suggestion

Please use the following Persistent Identifier (PID) to cite this document:

Further Details
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 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.
Classification Political Economy; Economic Statistics, Econometrics, Business Informatics
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
Status Postprint; peer reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)