On the sources of business cycles in the G-7

By Fabio Canova, Gianni De Nicolò. 2000

120 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/69e3e6d39cf91b8297ba1ae7a9b5f9f2a2465a87

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In Economics and Econometrics

Citations in the corpus

What Caused the Early Millennium Slowdown? Evidence Based on Vector Autoregressions (2005, unknown): “Uhlig (1999) and Canova and De Nicolo (2003) use sign restrictions on the impulse response”
Monetary Disturbances Matter for Business Fluctuations in the G-7 (2002, methodology): “where s(2)it is the forecast error variance of Yi at horizon t: We compute confidence bands for the ztði; aÞ numerically drawing 1000 Monte Carlo replications, ordering them and extracting the 68% band (from the 16th to the 84th percentile) as suggested by Sims and Zha (1999). There are several diff”
Business Cycle Transmission from the US to Germany: A Structural Factor Approach (2007, unknown): “Papers combining the factor approach and structural VAR techniques are the ones by Forni and Reichlin (1998), Sala (2001), Giannone, Reichlin and Sala (2002), Cimadomo (2003) and Forni, Lippi and Reichlin (2003).”