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Identifying shocks to business cycles with asynchronous propagation

Author

Listed:
  • Carsten Trenkler

    (University of Mannheim
    Institute of Employment Research)

  • Enzo Weber

    (Institute of Employment Research
    University of Regensburg)

Abstract

This paper develops a methodology to investigate which shocks drive asynchrony of business cycles. It unites two strands of literature, those on common features and on structural VAR analysis. In particular, a lack of a common cycle between two GDPs can be traced back to at least one shock with non-collinear structural impulse responses. We apply a Wald test to the collinearity hypothesis. Empirical results on the eurozone reveal that differences in the business cycles in several peripheral countries compared to a eurozone core are triggered mainly by local shocks. Depending on the country, real or nominal shocks turn out to play a more important role.

Suggested Citation

  • Carsten Trenkler & Enzo Weber, 2020. "Identifying shocks to business cycles with asynchronous propagation," Empirical Economics, Springer, vol. 58(4), pages 1815-1836, April.
    • Handle: RePEc:spr:empeco:v:58:y:2020:i:4:d:10.1007_s00181-018-1563-z
    DOI: 10.1007/s00181-018-1563-z
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    More about this item

    Keywords

    Common cycles; Eurozone; Impulse responses; Structural VAR; Wald test;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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