Country-specific and global shocks in the business cycle

  • Industrial production in G7 countries is assumed to be driven by two exogenous disturbances. Those disturbances are identified in a VAR model so they can be interpreted as country-specific and global supply shocks. The dynamic properties of the model are analyzed and the relative importance of each shock is measured. It is shown that the VAR model matches most of the theoretical predictions of standard intertemporal open-economy models. The identified structural disturbances are analyzed with regard to their impact on the current account and investment. First Draft, October 2000. Final Draft, January 2001. This paper is based on the second chapter of my doctoral dissertation at the University of Frankfurt. Klassifikation: E32, F41

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Author:Daniel Gross
Parent Title (German):Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2001,11
Series (Serial Number):CFS working paper series (2001, 11)
Document Type:Working Paper
Year of Completion:2001
Year of first Publication:2001
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Release Date:2005/06/13
Tag:Country-Specific and Global Shocks; RBC; VAR
GND Keyword:G-7-Staaten; internationaler Konjunkturzusammenhang; Schock <Wirtschaft>; Realer-Konjunkturzyklus-Theorie; Vektor-autoregressives Modell; Schätzung
Source:CFS working paper ; 2001,11
Institutes:Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS)
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
Licence (German):License LogoDeutsches Urheberrecht