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The world is not enough! Small open economies and regional dependence

Aastveit, Knut Are; Bjørnland, Hilde C.; Thorsrud, Leif Anders
Working paper
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CAMP_wp_3-2011.pdf (1.101Mb)
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http://hdl.handle.net/11250/95377
Utgivelsesdato
2011
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  • Centre for Applied Macro- and Petroleum economics (CAMP) [104]
Sammendrag
This paper bridges the new open economy factor augmented VAR

(FAVAR) studies with the recent findings in the business cycle synchronization

literature emphasizing the importance of regional factors.

That is, we estimate and identify a three block FAVAR model with

separate world, regional and domestic blocks and study the transmission

of both global and regional shocks to four small open economies

(Canada, New Zealand, Norway and UK). The results show that foreign

shocks explain a major share of the variance in all countries,

most so shocks that are common to the world. However, regional

shocks also play an important role, explaining more than 20 percent

of the variance in the variables. Hence in small open economies, the

world is not enough. The regional factors impact the four countries

differently, though, some through trade and some through consumer

sentiment. Our findings of a strong transmission of both global and regional

shocks to open economies are in sharp contrast to the evidence

from recently developed open economy DSGE models.
Beskrivelse
1/2010 and 2/2010 was published as CAMAR Working Papers Series (ISSN 1892-2198). From 2011 the series' name changed to CAMP Working Paper Series.
Utgiver
BI Norwegian Business School
Serie
CAMP Working Paper Series;3/2011

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