Sources of international business fluctuations: Country-specific shocks or worldwide shocks?

초록

This paper identifies sources of business fluctuations in a two-country open economy model with the structural VAR method, focusing on the relative importance of worldwide shocks and country-specific shocks. Unlike previous studies which define country-specific shocks as labor supply shocks, this study explicitly identifies three kinds of permanent shocks: worldwide shocks, domestic country-specific shocks, and foreign country-specific shocks with identifying restrictions derived from a theoretical model. The main finding is that U.S. country-specific shocks are the most important in explaining U.S. and foreign output fluctuations except in the short-run. (C) 1999 Elsevier Science BN. All rights reserved.

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