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Identifying shocks to business cycles with asynchronous propagation

  • Carsten Trenkler
  • Enzo Weber
Article
  • 74 Downloads

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.

Keywords

Common cycles Eurozone Impulse responses Structural VAR Wald test 

JEL Classification

C32 E32 

Notes

Acknowledgements

We are grateful to the participants of the economics research seminar at the Westfälische Wilhelms-Universität Münster. The research was supported by the Deutsche Forschungsgemeinschaft (DFG) through the SFB 884 “Political Economy of Reforms”. Part of the research was done while the first author was visiting the Humboldt Universität zu Berlin. He thanks the Humboldt Universität for its hospitality.

Compliance with ethical standards

Conflict of interest

Both authors, Carsten Trenkler and Enzo Weber, declare that they have no conflict of interest.

Human and animal rights

This article does not contain any studies with human participants or animals performed by any of the authors.

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Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature 2018

Authors and Affiliations

  1. 1.University of MannheimMannheimGermany
  2. 2.Institute of Employment ResearchNurembergGermany
  3. 3.Department of Economics and EconometricsUniversity of RegensburgRegensburgGermany

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