Monetary Disturbances Matter for Business Fluctuations in the G-7

38 Pages Posted: 1 Nov 2000

See all articles by Fabio Canova

Fabio Canova

Bi norwegian business school

Gianni De Nicolo

Johns Hopkins University - Carey Business School; CESifo (Center for Economic Studies and Ifo Institute)

Date Written: August 2000

Abstract

This paper examines the importance of monetary disturbances for cyclical fluctuations in real activity and inflation. It employs a novel identification approach which uses the sign of the cross correlation function in response to shocks to assign a structural interpretation to orthogonal innovations. We find that monetary shocks significantly drive output and inflation cycles in all G-7 countries; that they are the dominant source of fluctuations in three of the seven countries; that they contain an important policy component, and that their impact is time varying.

Keywords: structural shocks, business cycles, monetary disturbances, dynamic correlations

JEL Classification: C68, E32, F11

Suggested Citation

Canova, Fabio and De Nicolo, Gianni, Monetary Disturbances Matter for Business Fluctuations in the G-7 (August 2000). International Finance Working Paper No. 660. Available at SSRN: https://ssrn.com/abstract=231854 or http://dx.doi.org/10.2139/ssrn.231854

Fabio Canova (Contact Author)

Bi norwegian business school ( email )

Nydalsveien 37
Oslo, 0484
Norway

Gianni De Nicolo

Johns Hopkins University - Carey Business School ( email )

100 International Drive
Baltimore, MD 21202
United States
(410) 234-4507 (Phone)

CESifo (Center for Economic Studies and Ifo Institute) ( email )

Poschinger Str. 5
Munich, DE-81679
Germany

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
147
Abstract Views
1,336
rank
206,451
PlumX Metrics