TY  - BOOK
AU  - Bayoumi,Tamim
AU  - Swiston,Andrew
TI  - Foreign Entanglements: Estimating the Source and Size of Spillovers Across Industrial Countries 
T2  - IMF Working Papers; Working Paper
SN  - 1451867468 :
SN  - 1018-5941
PY  - 2007///
CY  - Washington, D.C.
PB  - International Monetary Fund
KW  - Correlation
KW  - imf
KW  - Covariance
KW  - Equation
KW  - International Business Cycles
KW  - Vector Autoregressions
KW  - Japan
KW  - United States
N2  - VARs of real growth since 1970 are used to estimate spillovers between the U.S., euro area, Japan, and an aggregate of small industrial countries, which proxies for global shocks. U.S. and global shocks generate significant spillovers, while those from the euro area and Japan are small. This paper also calculates the standard errors of impulse-response functions including uncertainty over the proper Cholesky ordering. Extensions adding real net exports, commodity prices, and financial variables indicate that financial effects dominate spillovers. The results by subperiod underline the importance of the great moderation in U.S. output fluctuations and associated financial stability in lowering output volatility elsewhere
UR  - http://elibrary.imf.org/view/IMF001/08610-9781451867466/08610-9781451867466/08610-9781451867466.xml
UR  - http://www.imfbookstore.org/IMFORG/9781451867466
ER  -