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Global and regional business cycles: Shocks and propagations

Thorsrud, Leif Anders
Working paper
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Working_CAMP_3-2013.pdf (833.5Kb)
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http://hdl.handle.net/11250/196673
Utgivelsesdato
2014-06-24
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  • Centre for Applied Macro- and Petroleum economics (CAMP) [104]
Sammendrag
We study the synchronization of real and nominal variables across four dfferent

regions of the world, Asia, Europe, North and South America, covering 32 different

countries. Employing a FAVAR framework, we distinguish between global and

regional demand and supply shocks and document the relative contributions of

these shocks to explaining macroeconomic

uctuations and synchronization. Our

results support the decoupling hypothesis advanced in recent business cycle studies

and yields new insights regarding the causes of business cycle synchronization. In

particular, global supply shocks cause more severe activity

uctuations in European

and North American economies than in Asian and South American economies,

whereas global demand shocks shift activity in the different regions in opposite

directions at longer horizons. Furthermore, demand shocks play a larger role than

that found in related studies. Finally, only innovations to the Asian activity and

price factors have significant spillover effects on shared global factors, demonstrating

the growing importance of Asia in the global economy.
Serie
CAMP Working Paper Series;3/2013

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