Identifying shocks to business cycles with asynchronous propagation

Abstract

"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." (Author's abstract, © Springer-Verlag) ((en))

Cite article

Trenkler, C. & Weber, E. (2020): Identifying shocks to business cycles with asynchronous propagation. In: Empirical economics, Vol. 58, No. 4, p. 1815-1836. DOI:10.1007/s00181-018-1563-z