The International Business Cycle in a Changing World: Volatility and the Propagation of Shocks in the G7

38 Pages Posted: 3 Dec 2004

See all articles by Michael J. Artis

Michael J. Artis

University of Manchester - Institute for Political & Economic Governance (IPEG)

Denise R. Osborn

University of Manchester - School of Social Sciences; University of Tasmania

Pedro Perez-Vazquez

University of Valencia

Date Written: October 2004

Abstract

This Paper examines the changing relationships between the G7 countries through VAR models for the quarterly growth rates, estimated both over sub-periods and using a rolling data window. Six trivariate models are estimated, all of which include the US and a European (E15) aggregate. In relative terms, the conditional volatility of E15 growth has declined more since 1980 than the well-documented decline for the US. The propagation of shocks has also changed, with the volatility and propagation effects separated by applying shocks of pre-1980 magnitude to VARs estimated over various periods. Rolling estimation reveals that E15 has a steadily increasing impact on the US economy over time, while the effects of the US on Europe have been largest during the 1970s and the late 1990s.

Keywords: International business cycles, European integration, time variation, volatility

JEL Classification: E32, F02, F43

Suggested Citation

Artis, Michael J. and Osborn, Denise R. and Perez-Vazquez, Pedro, The International Business Cycle in a Changing World: Volatility and the Propagation of Shocks in the G7 (October 2004). Available at SSRN: https://ssrn.com/abstract=629042

Michael J. Artis (Contact Author)

University of Manchester - Institute for Political & Economic Governance (IPEG) ( email )

Oxford Road
Manchester, M13 9PL
United Kingdom

Denise R. Osborn

University of Manchester - School of Social Sciences ( email )

Oxford Road
Manchester, M13 9PL
United Kingdom

University of Tasmania ( email )

French Street
Sandy Bay
Tasmania, 7250
Australia

Pedro Perez-Vazquez

University of Valencia ( email )

E-46022 Valencia, Valencia E-46022
Spain
34 96 382 8778 (Phone)
34 96 382 8249 (Fax)

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