On the Sources of Business Cycles in the G-7

Fabio Canova, Gianni de Nicolo
2000 Social Science Research Network  
This p a per examines sources of cyclical movements in output, ination and the term structure of i nterest rates. It employ s a n o vel identication approach which uses the sign of the cross correlation function in response to shocks to catalog orthogonal disturbances. We nd that demand shocks are the dominant source output, ination and term structure uctuations in six of the G-7 countries. Within the class of d e m and disturbances, nominal shocks are dominant, but their i m portance declined
more » ... portance declined after 1982. Furthermore, there are no signicant dierences in the proportion of term structure variability explained by dierent structural sources at dierent h o rizons. JEL Classication No.: C68, E32, F11.
doi:10.2139/ssrn.230835 fatcat:inq76qfnond7jiaohmhz5mdbhm