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On the sources of business cycles in the G-7
Canova, Fabio; de Nicoló, Gianni
Universitat Pompeu Fabra. Departament d'Economia i Empresa
This paper examines sources of cyclical movements in output, inflation and the term structure of interest rates. It employs a novel identification approach which uses the sign of the cross correlation function in response to shocks to catalog orthogonal disturbances. We find that demand shocks are the dominant source output, inflation and term structure fluctuations in six of the G-7 countries. Within the class of demand disturbances, nominal shocks are dominant, but their importance declined after 1982. Furthermore, there are no significant differences in the proportion of term structure variability explained by different structural sources at different horizons.
15-09-2005
Macroeconomics and International Economics
structural shocks
business cycles
demand disturbances
dynamic correlations
impulse responses
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