Domestic versus international determinants of European business cycles: a GVAR approach
We investigate the sources of macroeconomic (output and inflation) variability in selected European countries within and outside the European Monetary Union: Germany, Italy, Austria, the UK, and Poland. We estimate a global vector autoregressive model with quarterly data for fifteen countries and regions covering more than 90 per cent of the World GDP. We find that domestic factors explain most of the macroeconomic variability over the short horizon, i.e. from zero to four quarters, but become...[Show more]
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