2018
DOI: 10.1016/j.jimonfin.2017.11.001
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Measuring the international dimension of output volatility

Abstract: This paper studies output fluctuations in a panel of OECD economies with the aim to decompose the evolution in output volatility into domestic and international factors. To this end we use a factor-augmented dynamic panel model with both domestic and international shocks and spillovers between countries through trade linkages. Changes in the volatility of output growth can be due to time-varying sensitivity to these shocks, changes in the propagation mechanism or shifts in the variances of shocks. We explicitl… Show more

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References 44 publications
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