The international business cycle in a changing world: Volatility and the propagation of shocks in the G-7

Pedro J. Perez, Denise R. Osborn, Michael Artis

Research output: Contribution to journalArticlepeer-review

Abstract

The changing relationships between the G-7 countries are examined through VAR models for quarterly growth, estimated over sub-periods and using a rolling data window. Trivariate models are employed, each including the US and a European (E15) aggregate. The results show that conditional volatility of growth has declined relatively more since 1980 for E15 than for the US, aggregate European shocks have increased impact on "core" European countries from around 1980, the effects of the US on Europe are largest during the 1970s and the late 1990s, and E15 has a steadily increasing impact on the US economy over time. © Springer Science + Business Media, LLC 2006.
Original languageEnglish
Pages (from-to)255-279
Number of pages24
JournalOpen Economies Review
Volume17
Issue number3
DOIs
Publication statusPublished - Jul 2006

Keywords

  • European integration
  • International business cycle
  • Time variation and volatility

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