On the sources of business cycles in the G-7

• 成果类型: Article
• 署名作者: Canova, F; de Nicoló, G
• 署名单位: Pompeu Fabra University; International Monetary Fund
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(02)00085-5
• 发表日期: 2003
• 页码: 77-100
• 关键词: structural shocks; business cycles; dynamic correlations; impulse responses

摘要

This paper examines sources of cyclical movements in output, inflation and the term structure of interest rates in the G-7. It employs a novel identification approach which uses the sign of the theoretical cross correlation function in response to shocks to catalog orthogonal disturbances. We find that demand shocks are the dominant source of output and inflation fluctuations in several of the G-7 countries. The proportion of term structure variability explained by different structural sources does not depend on the horizon. Apart from the US and Canada, structural shocks are nearly uncorrelated across countries. (C) 2002 Elsevier Science B.V. All rights reserved.