| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15787 |
| DP15787 Spillover Effects in International Business Cycles | |
| Gabriel Pérez-Quirós; Máximo Camacho; Matias Jose Pacce | |
| 发表日期 | 2021-02-09 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | To analyze the international transmission of business cycle fluctuations, we propose a new multilevel dynamic factor model with a block structure that (i) does not restrict the factors to being orthogonal and (ii) mixes data sampled at quarterly and monthly frequencies. By means of Monte Carlo simulations, we show the high performance of the model in computing inferences of the unobserved factors, accounting for the spillover effects, and estimating the model's parameters. We apply our proposal to data from the G7 economies by analyzing the responses of national factors to shocks in foreign factors and by quantifying the changes in national GDP expectations in response to unexpected positive changes in foreign GDPs. Although the share of the world factor as a source of the international transmission of fluctuations is still significant, this is partially absorbed by the spillover transmissions. In addition, we document a pro-cyclical channel of international transmission of output growth expectations, with the US and UK being the countries that generate the greatest spillovers and Germany and Japan being the countries that generate the smallest spillovers. Therefore, policymakers should closely monitor the evolution of foreign business cycle expectations. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Spillovers Business cycle Mixed-frequency |
| URL | https://cepr.org/publications/dp15787 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/544787 |
| 推荐引用方式 GB/T 7714 | Gabriel Pérez-Quirós,Máximo Camacho,Matias Jose Pacce. DP15787 Spillover Effects in International Business Cycles. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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