International Macroeconomic Dynamics: A Factor Vector Autoregressive Approach

Posted: 20 Nov 2006 Last revised: 9 Jun 2013

See all articles by Claudio Morana

Claudio Morana

Università di Milano Bicocca; Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS); Università degli Studi di Milano-Bicocca - Center for European Studies (CefES); Center for Economic Research on Pensions and Welfare Policies (CeRP); Rimini Center for Economic Analysis - Europe ETS; Rimini Center for Economic Analysis - HQ

Fabio C. Bagliano

University of Turin - Department of Economics and Statistics; Center for Research on Pensions and Welfare Policies (CeRP); University of Turin - Collegio Carlo Alberto

Date Written: November 1, 2006

Abstract

In this paper international comovements among a set of key real and nominal macroeconomic variables for the G-7 countries have been investigated for the 1980-2005 period, using a Factor Vector Autoregressive approach. We present evidence that comovements in macroeconomic variables do not concern only real activity, but are an important feature also of stock market returns, inflation rates, interest rates and, to a smaller extent, monetary aggregates. Both common sources of shocks and similar transmission mechanisms explain international comovements, with the only exception of Japan, where the idiosyncratic features seem to dominate. Finally, concerning the origin of global shocks, evidence of both global supply-side and demand-side disturbances is found.

Keywords: G7, international business cycle, factor vector autoregressive models, common factors

JEL Classification: C22, E31, E32

Suggested Citation

Morana, Claudio and Bagliano, Fabio C., International Macroeconomic Dynamics: A Factor Vector Autoregressive Approach (November 1, 2006). Economic Modelling, Vol. 26, pp. 232-244, 2009, Available at SSRN: https://ssrn.com/abstract=945747

Claudio Morana (Contact Author)

Università di Milano Bicocca ( email )

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Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS) ( email )

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Università degli Studi di Milano-Bicocca - Center for European Studies (CefES) ( email )

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Center for Economic Research on Pensions and Welfare Policies (CeRP) ( email )

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Fabio C. Bagliano

University of Turin - Department of Economics and Statistics ( email )

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HOME PAGE: http://web.econ.unito.it/bagliano

Center for Research on Pensions and Welfare Policies (CeRP) ( email )

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University of Turin - Collegio Carlo Alberto ( email )

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