Posted: 20 Nov 2006 Last revised: 9 Jun 2013
Date Written: November 1, 2006
In this paper international comovements among a set of key real and nominal macroeconomic variables for the G-7 countries have been investigated for the 1980-2005 period, using a Factor Vector Autoregressive approach. We present evidence that comovements in macroeconomic variables do not concern only real activity, but are an important feature also of stock market returns, inflation rates, interest rates and, to a smaller extent, monetary aggregates. Both common sources of shocks and similar transmission mechanisms explain international comovements, with the only exception of Japan, where the idiosyncratic features seem to dominate. Finally, concerning the origin of global shocks, evidence of both global supply-side and demand-side disturbances is found.
Keywords: G7, international business cycle, factor vector autoregressive models, common factors
JEL Classification: C22, E31, E32
Suggested Citation: Suggested Citation
Morana, Claudio and Bagliano, Fabio C., International Macroeconomic Dynamics: A Factor Vector Autoregressive Approach (November 1, 2006). Economic Modelling, Vol. 26, pp. 232-244, 2009. Available at SSRN: https://ssrn.com/abstract=945747