Trenkler, Carsten and Weber, Enzo (2020) Identifying shocks to business cycles with asynchronous propagation. EMPIRICAL ECONOMICS, 58 (4). pp. 1815-1836. ISSN 0377-7332, 1435-8921
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This paper develops a methodology to investigate which shocks drive asynchrony of business cycles. It unites two strands of literature, those on common features and on structural VAR analysis. In particular, a lack of a common cycle between two GDPs can be traced back to at least one shock with non-collinear structural impulse responses. We apply a Wald test to the collinearity hypothesis. Empirical results on the eurozone reveal that differences in the business cycles in several peripheral countries compared to a eurozone core are triggered mainly by local shocks. Depending on the country, real or nominal shocks turn out to play a more important role.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | OPTIMUM-CURRENCY-AREA; IMPULSE RESPONSES; COMMON TRENDS; CONVERGENCE; FLUCTUATIONS; Common cycles; Eurozone; Impulse responses; Structural VAR; Wald test |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Empirische Wirtschaftsforschung, insbesondere Makroökonomie und Arbeitsmarkt (Prof. Dr. Enzo Weber) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 29 Mar 2021 08:11 |
| Last Modified: | 29 Mar 2021 08:11 |
| URI: | https://pred.uni-regensburg.de/id/eprint/44870 |
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