International propagation of shocks: a dynamic factor model using survey forecasts

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dc.contributor.authorLahiri, Kajal
dc.contributor.authorZhao, Yongchen
dc.contributor.departmentTowson University. Department of Economicsen_US
dc.date.accessioned2019-01-28T18:00:44Z
dc.date.available2019-01-28T18:00:44Z
dc.date.issued2018-09
dc.description.abstractThis paper studies the pathways for the propagation of shocks across G7 and major Asia-Pacific countries using multi-horizon forecasts of real GDP growth from 1995 to 2017. We show that if the forecasts are efficient in the long run, results obtained using the forecasts are comparable to those obtained from the actual outturns. We measure global business cycle connectedness and study the impact of country- specific shocks as well as common international shocks using a panel factor structural VAR model. Our results suggest strong convergence of business cycles within the group of industrialized countries and the group of developing economies during non-recessionary periods. In particular, we find increased decoupling between the industrialized and developing economies after the 2008 recession. However, the direction of shock spillovers during recessions and other crisis periods are varied, depending on the nature and origin of the episode.en_US
dc.description.urihttps://ideas.repec.org/p/tow/wpaper/2018-04.htmlen_US
dc.formatapplication/pdf
dc.format.extent45 pagesen_US
dc.genreworking papersen_US
dc.identifierdoi:10.13016/m2nnri-kl9p
dc.identifier.citationKajal Lahiri & Yongchen Zhao, 2018. "International Propagation of Shocks: A Dynamic Factor Model Using Survey Forecasts," Working Papers 2018-04, Towson University, Department of Economics, revised Sep 2018.en_US
dc.identifier.otherJEL: F41
dc.identifier.otherJEL: F42
dc.identifier.otherJEL: E32
dc.identifier.otherJEL: C33
dc.identifier.urihttp://hdl.handle.net/11603/12628
dc.language.isoen_USen_US
dc.publisherTowson University. Department of Economicsen_US
dc.relation.isAvailableAtTowson University
dc.relation.ispartofseriesTowson University Department of Economics Working Paper Series;2018-04
dc.subjectGross domestic producten_US
dc.subjectBusiness cyclesen_US
dc.subjectTransmission of shocksen_US
dc.subjectCommon international shocksen_US
dc.subjectPanel VAR modelen_US
dc.subjectBlue Chip surveysen_US
dc.titleInternational propagation of shocks: a dynamic factor model using survey forecastsen_US
dc.typeTexten_US

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