International information flows, sentiments andcross-country business cycle fluctuations

• Autorzy: Michał Brzoza-Brzezina , Jacek Kotłowski , G. Wesołowski
• Języki publikacji: EN

Abstrakty

EN

Business cycles are strongly correlated between countries. One possible explanation(beyond traditional economic linkages like trade or finance) is that consumer or businesssentiments spread over boarders and affect cyclical fluctuations in various countries. Wefirst lend empirical support to this concept by showing that sentiments travel betweencountries at a speed much higher than can be explained by traditional linkages. Thenwe construct a two-economy new Keynesian model where noisy international information can generate cyclical fluctuations (comovement of GDP, consumption, investmentand inflation) in both countries. Estimation with US and Canadian data reveals asignificant role of international noise shocks in generating common fluctuations - theyexplain between 15-30% of consumption variance in the US and Canada and raise thecorrelation between these variables by up to unity in periods of sentiment breakdowns.We also show that our estimated noise shock has a clear interpretation as a sentimentshock.

Słowa kluczowe

EN

Spillover effects; Business cycles; Behavioral economics; Animal spirits

PL

Efekty zewnętrzne; Cykl koniunkturalny; Ekonomia behawioralna; Zwierzęce instynkty

• Czasopismo: Collegium of Economic Analysis SGH - Working Papers
• Rocznik: 2020
• Numer: nr 47
• Strony: 46

Twórcy

autor

Michał Brzoza-Brzezina

• Warsaw School of Economics, Poland

autor

Jacek Kotłowski

autor

G. Wesołowski

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