This paper proposes an econometric framework to assess the importance of common shocks and common transmission mechanisms ingenerating 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...

In this paper we overview the literature on common features analysis of economic time series. Starting from the seminal contributions by Engle and Kozicki (1993) and Vahid and Engle (1993), we present and discuss the various notions that have been proposed to detect and model common cyclical...

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...

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...

We analyze herein the importance of four types of shocks in contributing to the business cycles of the G7 economies. After disentangling the common permanent and transitory shocks in the G7 outputs, we identify the domestic and foreign components of such shocks for each country. This provides us...