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Domestic versus international determinants of European business cycles: a GVAR approach

ARIES, Temporary; Marzo, Massimiliano; Salotti, Simone

Description

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]

dc.contributor.authorARIES, Temporary
dc.contributor.authorMarzo, Massimiliano
dc.contributor.authorSalotti, Simone
dc.date.accessioned2016-02-24T22:41:41Z
dc.identifier.issn0377-7332
dc.identifier.urihttp://hdl.handle.net/1885/98780
dc.description.abstractWe 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 progressively dominated by international ones at larger horizons. Regional factors appear to be particularly important. Focusing on the European Monetary Union, we detect no significant differences between countries current members and non-members in the sources of output variability. As for inflation, on the contrary, regional factors are more influential than those of the rest of the world for the EMU member countries, differently from non-members.
dc.publisherSpringer Verlag
dc.sourceEmpirical Economics
dc.titleDomestic versus international determinants of European business cycles: a GVAR approach
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume49
dc.date.issued2015
local.identifier.absfor140000 - ECONOMICS
local.identifier.ariespublicationU3488905xPUB7553
local.type.statusPublished Version
local.contributor.affiliationARIES, Temporary, Administrative Division, ANU
local.contributor.affiliationMarzo, Massimiliano, University of Bologna
local.contributor.affiliationSalotti, Simone, Oxford Brookes University
local.description.embargo2037-12-31
local.bibliographicCitation.issue2
local.bibliographicCitation.startpage403
local.bibliographicCitation.lastpage421
local.identifier.doi10.1007/s00181-014-0875-x
dc.date.updated2016-02-24T10:14:20Z
local.identifier.scopusID2-s2.0-84938508456
CollectionsANU Research Publications

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