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dc.contributor.authorARTIS, Michael J.
dc.contributor.authorOSBORN, Denise R.
dc.contributor.authorPEREZ-VAZQUEZ, Pedro
dc.date.accessioned2005-01-06T11:10:10Z
dc.date.available2005-01-06T11:10:10Z
dc.date.issued2004
dc.identifierCEPR/EABCN No 10en
dc.identifier.issn1028-3625
dc.identifier.urihttps://hdl.handle.net/1814/2734
dc.description.abstractThis 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.isoen
dc.relation.ispartofseriesCEPR Discussion Paperen
dc.relation.ispartofseries2004/4652en
dc.relation.urihttp://cepr.org/active/publications/discussion_papers/dp.php?dpno=4652
dc.titleThe international business cycle in a changing world : volatility and the propagation of shocks in the G-7en
dc.typeWorking Paper
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