On the sources of business cycles in the G-7
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- dc.contributor.author Canova, Fabioca
- dc.contributor.author De Nicolo, Giannica
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2017-07-26T12:07:49Z
- dc.date.available 2017-07-26T12:07:49Z
- dc.date.issued 1999-10-01
- dc.date.modified 2017-07-23T02:05:15Z
- dc.description.abstract This paper examines sources of cyclical movements in output, inflation and the term structure of interest rates. It employs a novel identification approach which uses the sign of the cross correlation function in response to shocks to catalog orthogonal disturbances. We find that demand shocks are the dominant source output, inflation and term structure fluctuations in six of the G-7 countries. Within the class of demand disturbances, nominal shocks are dominant, but their importance declined after 1982. Furthermore, there are no significant differences in the proportion of term structure variability explained by different structural sources at different horizons.
- dc.format.mimetype application/pdfca
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=459
- dc.identifier.citation Journal of International Economics, 59(1), 2003, 77-100
- dc.identifier.uri http://hdl.handle.net/10230/559
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 459
- dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword structural shocks
- dc.subject.keyword business cycles
- dc.subject.keyword demand disturbances
- dc.subject.keyword dynamic correlations
- dc.subject.keyword impulse responses
- dc.subject.keyword Macroeconomics and International Economics
- dc.title On the sources of business cycles in the G-7ca
- dc.type info:eu-repo/semantics/workingPaper