Ciclo y dinámica económica en Europa

by Pérez Vázquez, Pedro José

ABSTRACT The thesis is composed of four chapters and a final section that summarised the principal conclusions. The first chapter analyses the cyclical properties in the main western economies. The results show a great similarity in the cyclical behaviour of the variables, showing common business cycle phenomena among the analysed countries. The highest differences were found in the behaviour of the monetary variables and in the real wage, what seems to indicate a different role of the monetary policy and differences in the national labour markets. Additionally, we use three alternative filter methods, and in contrast to the work of Canova (1998), the results do not change, at least qualitatively, with the filter method. Moreover, we study the temporal stability of the cyclical facts. This analysis shows that in general the relationship of the different variables with the GDP cycle is fundamentally stable over time, while volatilities are not so stable, indicating that the same economic mechanisms are present in periods of high and low volatility. The second chapter analyses the possible existence of European common cycle, the results show the existence of two cyclical components common to the main European countries that affect in an asymmetric way to the US. The third chapter analyses the relative importance of supply and demand shocks in Spain, Switzerland and the G-7 economies using a VAR model for output and inflation. A negative long run relationship was found in all countries, then we estimate a VAR model with cointegration restrictions (VECM). The results indicate that supply shocks are an important source of output variability, even in the short run. When a monetary variable is added to the model the results remains basically the same. The fourth chapter analyses if, in spite of the results obtained in the previous chapter, the fluctuations observed in the Spanish GDP could be explained by the traditional vision of the economic fluctuations, represented by the Keynesian paradigm. The results indicate that in spite of the bigger quantitative importance of the supply shocks, the transmission mechanisms suggested by the Keynesian paradigm continue being valid.