Foreign Entanglements: Estimating the Source and Size of Spillovers Across Industrial Countries

 
Author/Editor: Bayoumi, Tamim ; Swiston, Andrew
 
Publication Date: July 01, 2007
 
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Summary: VARs of real growth since 1970 are used to estimate spillovers between the U.S., euro area, Japan, and an aggregate of small industrial countries, which proxies for global shocks. U.S. and global shocks generate significant spillovers, while those from the euro area and Japan are small. This paper also calculates the standard errors of impulse-response functions including uncertainty over the proper Cholesky ordering. Extensions adding real net exports, commodity prices, and financial variables indicate that financial effects dominate spillovers. The results by subperiod underline the importance of the great moderation in U.S. output fluctuations and associated financial stability in lowering output volatility elsewhere.
 
Series: Working Paper No. 07/182
Subject(s): Japan | United States | Exports | Commodity prices

Author's Keyword(s): Spillovers | international business cycles | vector autoregressions
 
English
Publication Date: July 01, 2007
ISBN/ISSN: 1934-7073 Format: Paper
Stock No: WPIEA2007182 Pages: 52
Price:
US$18.00 (Academic Rate:
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