06181oam 22012254 450 991082279150332120240402045956.01-4623-7094-21-4527-1479-71-282-44837-41-4519-1318-49786613821560(CKB)3360000000443194(EBL)1607684(SSID)ssj0000948650(PQKBManifestationID)11602667(PQKBTitleCode)TC0000948650(PQKBWorkID)10951190(PQKB)10568120(OCoLC)535146989(IMF)WPIEE2008003(CaOOCEL)251002(MiAaPQ)EBC1607684(EXLCZ)99336000000044319420020129d2008 uf 0engur|n|---|||||txtccrSpillovers Across NAFTA /Tamim Bayoumi, Andrew Swiston1st ed.Washington, D.C. :International Monetary Fund,2008.1 online resource (34 p.)IMF Working Papers"January 2008."1-4518-6865-0 Includes bibliographical references (p. 18-19).Contents; I. Introduction; II. Identifying Spillovers in a Vector Autoregression; III. Where do Shocks to Canada and Mexico Originate?; A. The Evolution of Domestic Shocks and Correlations Over Time; B. Size of Spillovers to Canada; C. Size of Spillovers to Mexico; IV. By What Channels Are Spillovers Transmitted?; A. Measuring the Channels; B. Sources of Spillovers to Canada; C. Sources of Spillovers to Mexico; V. Conclusions; References; Tables; 1. Canada: Correlations, Variances, and Covariances of VAR Residuals; 2. Mexico: Correlations, Variances, and Covariances of VAR Residuals3. Canada: Variance Decompositions of Real GDP4. Mexico: Variance Decompositions of Real GDP; Figures; 1. Measures of U.S. Integration with Canada and Mexico; 2. Canada: Spillovers Across Eight VARs; 3. Canada: Spillovers Across Eight VARs by Subsample; 4. Domestic Shocks and Canadian Responses by Subsample; 5. Mexico: Spillovers Across Eight VARs; 6. Mexico: Spillovers Across Eight VARs, 1996-2007; 7. Domestic Shocks and Mexican Responses by Subsample; 8. Canada: Decomposition of Spillovers; 9. Canada: Decomposition of Spillovers by Subsample; 10. Mexico: Decomposition of SpilloversThis paper examines linkages across North America by estimating the size of spillovers from the major regions of the world-the United States, euro area, Japan, and the rest of the world-to Canada and Mexico, and decomposing the impact of these spillovers into trade, commodity price, and financial market channels. For Canada, a one percent shock to U.S. real GDP shifts Canadian real GDP by some ¾ of a percentage point in the same direction- with financial spillovers more important than trade in recent decades. Thus, a large proportion of the reduction in Canadian output volatility since the 1980s can be accounted for by the "Great Moderation" in U.S. growth. Before 1996, domestic volatility in Mexico swamped the contribution of external factors to the business cycle. After 1996, the response of Mexican GDP is 1½ times the size of the U.S. shock-"when the U.S. sneezes, Mexico catches a cold". These spillovers are transmitted through both trade and financial channels.IMF Working Papers; Working Paper ;No. 2008/003EconometricsimfExports and ImportsimfMacroeconomicsimfExternalitiesimfTime-Series ModelsimfDynamic Quantile RegressionsimfDynamic Treatment Effect ModelsimfDiffusion ProcessesimfPrices, Business Fluctuations, and Cycles: General (includes Measurement and Data)imfCommodity MarketsimfTrade PolicyimfInternational Trade OrganizationsimfEconometrics & economic statisticsimfEconomic growthimfInternational economicsimfSpilloversimfVector autoregressionimfBusiness cyclesimfCommodity pricesimfNorth American Free Trade AgreementimfInternational financeimfPricesimfCommercial treatiesimfCanadaForeign economic relationsUnited StatesUnited StatesForeign economic relationsCanadaMexicoForeign economic relationsUnited StatesUnited StatesForeign economic relationsMexicoCanadaEconomic conditionsUnited StatesEconomic conditions1945-MexicoEconomic conditions1994-United StatesimfEconometricsExports and ImportsMacroeconomicsExternalitiesTime-Series ModelsDynamic Quantile RegressionsDynamic Treatment Effect ModelsDiffusion ProcessesPrices, Business Fluctuations, and Cycles: General (includes Measurement and Data)Commodity MarketsTrade PolicyInternational Trade OrganizationsEconometrics & economic statisticsEconomic growthInternational economicsSpilloversVector autoregressionBusiness cyclesCommodity pricesNorth American Free Trade AgreementInternational financePricesCommercial treaties338.9171073Bayoumi Tamim122763Swiston Andrew1598447International Monetary Fund.Western Hemisphere Dept.DcWaIMFBOOK9910822791503321Spillovers Across NAFTA4083938UNINA