Domestic, Foreign or Common Shocks?

September 1, 1996

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Format: Chicago

Stefania Fabrizio, and J. Humberto Lopez Domestic, Foreign or Common Shocks?, (USA: International Monetary Fund, 1996) accessed December 22, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

A stochastic general equilibrium model of the world economy is used to analyze the origin of international business cycles using data for Germany, Japan and the United States. The findings indicate that after 1973, common shocks play a major role in accounting for similarities in output fluctuations. However, trade interdependencies with the United States may have also played a very important role; more than 20 percent of output fluctuations of the German and Japanese economies could have been imported from the United States.

Subject: Business cycles, Consumption, Econometric analysis, Economic growth, Imports, International trade, National accounts, Production, Productivity, Vector autoregression

Keywords: Business cycles, Consumption, Country j., Covariance matrix, Imports, N country, Null hypothesis, Output fluctuation, Productivity, Productivity shock, Shock effect, Transmission mechanism, Vector autoregression, World economy, WP

Publication Details

Pages:

22
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 1996/107
Stock No:

WPIEA1071996
ISBN:

9781451852936
ISSN:

1018-5941

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