Type: Working Paper
The international business cycle in a changing world : volatility and the propagation of shocks in the G-7
Working Paper, CEPR Discussion Paper, 2004/4652
ARTIS, Michael J., OSBORN, Denise R., PEREZ-VAZQUEZ, Pedro, The international business cycle in a changing world : volatility and the propagation of shocks in the G-7, CEPR Discussion Paper, 2004/4652 - http://hdl.handle.net/1814/2734
Retrieved from Cadmus, EUI Research Repository
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.
Cadmus permanent link: http://hdl.handle.net/1814/2734
Other Identifier(s): CEPR/EABCN No 10
Series/Number: CEPR Discussion Paper; 2004/4652
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