Modelling comovements amongst multiple economic variables takes up a relevant part of the literature in time series econometrics. Comovement can be defined as "move together", that is as movement that several series have in common. The pattern of the series could be of different nature, such as...

This paper proposes an econometric framework to assess the importance of common shocks and common transmission mechanisms in generating international business cycles. Then we show how to decompose the cyclical effects of permanent-transitory shocks into those due to their domestic and those due...

This paper contributes to the literature on the role of technology shocks as source of the business cycle in two ways. First, we document that time-series of US productivity and hours are apparently affected by a structural break in the late 60's, which is likely due to a major change in the...

This paper contributes to the literature on the role of technology shocks as source of the business cycle in two ways. First, we document that time-series of US productivity and hours are apparently affected by a structural break in the late 60’s, which is likely due to a major change in the...

It is shown that time-series of US productivity and hours are apparently affected by a structural break in the late 60s. Moreover, the importance of technology shocks over the business cycle has sharply decreased after the break.