The Role of Structural Common and Country-Specific Shocks in the Business Cycle Dynamics of the G7 Countries

36 Pages Posted: 25 Apr 2009

See all articles by Atilim Seymen

Atilim Seymen

ZEW – Leibniz Centre for European Economic Research

Marcus Kappler

Center for European Economic Research (ZEW)

Date Written: 2009

Abstract

The study analyses the business cycles of the G7 countries in a structural vector autoregression (SVAR) framework comprising output, nominal interest rate and inflation. Common and country-specific supply, demand and nominal shocks of each G7 country are identified, and the corresponding shock propagation channels are computed. We establish the statistical properties of the cyclical fluctuations and investigate the role of each structural common and country-specific shock in the cyclical fluctuations of the variables of interest as well as the business cycle co-movement in the G7 group of countries.

Keywords: International Business Cycles, Common and Country-Specific Structural Shocks, Structural Vector Autoregression Models

JEL Classification: C32, E32

Suggested Citation

Seymen, Atilim and Kappler, Marcus, The Role of Structural Common and Country-Specific Shocks in the Business Cycle Dynamics of the G7 Countries (2009). ZEW - Centre for European Economic Research Discussion Paper No. 09-015, Available at SSRN: https://ssrn.com/abstract=1394366 or http://dx.doi.org/10.2139/ssrn.1394366

Atilim Seymen (Contact Author)

ZEW – Leibniz Centre for European Economic Research ( email )

P.O. Box 10 34 43
L 7,1
Mannheim, 68161
Germany

Marcus Kappler

Center for European Economic Research (ZEW) ( email )

P.O. Box 10 34 43
L 7,1 D-68161 Mannheim
Germany
+49 621 1235 157 (Phone)
+49 621 1235 223 (Fax)

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