Spillover Effects in International Business Cycles

Nonlinearities in International Business Cycles

This paper documents the dynamic properties of national output, its components, and the current account for five OECD countries. There is strong evidence of conditional volatility for almost all time series as well as significant deviations from normality. The deviations are detected particularly in GDP, net exports, investment time series. JEL Codes:

Commodities and International Business Cycles

Output growth in the U.S., a commodity-importing country, increases its demand for imports of commodities and therefore commodity prices, which benefits commodityexporting countries but has adverse effects on commodity-importing countries. Hence, in the data, U.S. output is more positively correlated with outputs of commodity-exporting countries than commodity-importing countries. In other word...

Time-Separability, Wealth Effects and International Business Cycles

This paper addresses the international comovement puzzle. International real business cycle models tend to predict negative cross-country correlations of investment and employment. In the data these correlations are positive. To reconcile the theory with the data the literature has resorted to financial frictions and new sources of disturbances. We show that a model driven by productivity shock...

Business Cycles in an International Context

International Business Cycles and Financial Frictions

Bank of Canada working papers are theoretical or empirical works-in-progress on subjects in economics and finance. The views expressed in this paper are those of the author. No responsibility for them should be attributed to the Bank of Canada. Abstract This paper builds a two-country DSGE model to study the quantitative impact of financial frictions on business cycle co-movements when investor...