Contagious switching. (21st September 2021)
- Record Type:
- Journal Article
- Title:
- Contagious switching. (21st September 2021)
- Main Title:
- Contagious switching
- Authors:
- Owyang, Michael T.
Piger, Jeremy
Soques, Daniel - Abstract:
- Summary: We analyze the propagation of recessions across countries using a model with multiple qualitative state variables in a vector autoregression (VAR). The VAR may include country‐level variables to determine whether policy also propagates across countries. We consider versions of the model with observed discrete states or unobserved discrete states, where the latter is inferred from fluctuations in economic data. We apply the model to Canada, Mexico, and the United States to test if spillover effects were similar before and after the North American Free Trade Agreement (NAFTA). We find that trade liberalization increased business cycle propagation across the three countries.
- Is Part Of:
- Journal of applied econometrics. Volume 37:Number 2(2022)
- Journal:
- Journal of applied econometrics
- Issue:
- Volume 37:Number 2(2022)
- Issue Display:
- Volume 37, Issue 2 (2022)
- Year:
- 2022
- Volume:
- 37
- Issue:
- 2
- Issue Sort Value:
- 2022-0037-0002-0000
- Page Start:
- 415
- Page End:
- 432
- Publication Date:
- 2021-09-21
- Subjects:
- Econometrics -- Periodicals
330.015195 - Journal URLs:
- http://onlinelibrary.wiley.com/ ↗
- DOI:
- 10.1002/jae.2874 ↗
- Languages:
- English
- ISSNs:
- 0883-7252
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 4942.520000
British Library DSC - BLDSS-3PM
British Library STI - ELD Digital store - Ingest File:
- 21183.xml