dc.contributor.author | ARTIS, Michael J. | |
dc.contributor.author | OSBORN, Denise R. | |
dc.contributor.author | PEREZ-VAZQUEZ, Pedro | |
dc.date.accessioned | 2005-01-06T11:10:10Z | |
dc.date.available | 2005-01-06T11:10:10Z | |
dc.date.issued | 2004 | |
dc.identifier | CEPR/EABCN No 10 | en |
dc.identifier.issn | 1028-3625 | |
dc.identifier.uri | https://hdl.handle.net/1814/2734 | |
dc.description.abstract | This Paper examines the changing relationships between the G7 countries through VAR models for the quarterly growth rates, estimated both over sub-periods and using a rolling data window. Six trivariate models are estimated, all of which include the US and a European (E15) aggregate. In relative terms, the conditional volatility of E15 growth has declined more since 1980 than the well-documented decline for the US. The propagation of shocks has also changed, with the volatility and propagation effects separated by applying shocks of pre-1980 magnitude to VARs estimated over various periods. Rolling estimation reveals that E15 has a steadily increasing impact on the US economy over time, while the effects of the US on Europe have been largest during the 1970s and the late 1990s. | |
dc.language.iso | en | |
dc.relation.ispartofseries | CEPR Discussion Paper | en |
dc.relation.ispartofseries | 2004/4652 | en |
dc.relation.uri | http://cepr.org/active/publications/discussion_papers/dp.php?dpno=4652 | |
dc.title | The international business cycle in a changing world : volatility and the propagation of shocks in the G-7 | en |
dc.type | Working Paper | |
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