Business Cycles Through International Shocks: A Structural Investigation

11 Pages Posted: 26 May 2010 Last revised: 19 Dec 2011

See all articles by Hakan Yilmazkuday

Hakan Yilmazkuday

Florida International University (FIU) - Department of Economics

Date Written: December 18, 2011

Abstract

This paper investigates the sources of output volatility by decomposing the international shocks into finance and trade shocks. Through structural Bayesian estimations of an open-economy DSGE model on 16 countries, on average, it is found that international shocks explain around 70% of output fluctuations. Across countries, the decomposition of international shocks shift toward trade shocks as the price stickiness falls, as steady-state real interest rate increases, as the weight given to output in the Taylor rule increases, or as the interest-rate smoothing increases.

Keywords: Cycles, Monetary Policy, International Trade Costs

JEL Classification: E32, E52, F41

Suggested Citation

Yilmazkuday, Hakan, Business Cycles Through International Shocks: A Structural Investigation (December 18, 2011). Economics Letters, Forthcoming, Available at SSRN: https://ssrn.com/abstract=1616155

Hakan Yilmazkuday (Contact Author)

Florida International University (FIU) - Department of Economics ( email )

11200 SW 8th Street
Miami, FL 33199
United States

HOME PAGE: http://faculty.fiu.edu/~hyilmazk/

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