This paper proposes an econometric framework to assess the importance of common shocks and common transmission mechanisms ingenerating international business cycles. Then we show how to decompose the cyclical effects of permanent-transitory shocks into those due to their domestic and those due...

For non-stationary vector autoregressive models (VAR hereafter, or VAR with moving average, VARMA hereafter), we show that the presence of common cyclical features or cointegration leads to a reduction of the order of the implied univariate autoregressive-moving average (ARIMA hereafter) models....