LEADER 06181oam 22012254 450 001 9910822791503321 005 20240402045956.0 010 $a1-4623-7094-2 010 $a1-4527-1479-7 010 $a1-282-44837-4 010 $a1-4519-1318-4 010 $a9786613821560 035 $a(CKB)3360000000443194 035 $a(EBL)1607684 035 $a(SSID)ssj0000948650 035 $a(PQKBManifestationID)11602667 035 $a(PQKBTitleCode)TC0000948650 035 $a(PQKBWorkID)10951190 035 $a(PQKB)10568120 035 $a(OCoLC)535146989 035 $a(IMF)WPIEE2008003 035 $a(CaOOCEL)251002 035 $a(MiAaPQ)EBC1607684 035 $a(EXLCZ)993360000000443194 100 $a20020129d2008 uf 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aSpillovers Across NAFTA /$fTamim Bayoumi, Andrew Swiston 205 $a1st ed. 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2008. 215 $a1 online resource (34 p.) 225 1 $aIMF Working Papers 300 $a"January 2008." 311 $a1-4518-6865-0 320 $aIncludes bibliographical references (p. 18-19). 327 $aContents; 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 Residuals 327 $a3. 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 Spillovers 330 3 $aThis paper examines linkages across North America by estimating the size of spillovers from the major regions of the world-the United States, euro area, Japan, and the rest of the world-to Canada and Mexico, and decomposing the impact of these spillovers into trade, commodity price, and financial market channels. For Canada, a one percent shock to U.S. real GDP shifts Canadian real GDP by some ¾ of a percentage point in the same direction- with financial spillovers more important than trade in recent decades. Thus, a large proportion of the reduction in Canadian output volatility since the 1980s can be accounted for by the "Great Moderation" in U.S. growth. Before 1996, domestic volatility in Mexico swamped the contribution of external factors to the business cycle. After 1996, the response of Mexican GDP is 1½ times the size of the U.S. shock-"when the U.S. sneezes, Mexico catches a cold". These spillovers are transmitted through both trade and financial channels. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2008/003 606 $aEconometrics$2imf 606 $aExports and Imports$2imf 606 $aMacroeconomics$2imf 606 $aExternalities$2imf 606 $aTime-Series Models$2imf 606 $aDynamic Quantile Regressions$2imf 606 $aDynamic Treatment Effect Models$2imf 606 $aDiffusion Processes$2imf 606 $aPrices, Business Fluctuations, and Cycles: General (includes Measurement and Data)$2imf 606 $aCommodity Markets$2imf 606 $aTrade Policy$2imf 606 $aInternational Trade Organizations$2imf 606 $aEconometrics & economic statistics$2imf 606 $aEconomic growth$2imf 606 $aInternational economics$2imf 606 $aSpillovers$2imf 606 $aVector autoregression$2imf 606 $aBusiness cycles$2imf 606 $aCommodity prices$2imf 606 $aNorth American Free Trade Agreement$2imf 606 $aInternational finance$2imf 606 $aPrices$2imf 606 $aCommercial treaties$2imf 607 $aCanada$xForeign economic relations$zUnited States 607 $aUnited States$xForeign economic relations$zCanada 607 $aMexico$xForeign economic relations$zUnited States 607 $aUnited States$xForeign economic relations$zMexico 607 $aCanada$xEconomic conditions 607 $aUnited States$xEconomic conditions$y1945- 607 $aMexico$xEconomic conditions$y1994- 607 $aUnited States$2imf 615 7$aEconometrics 615 7$aExports and Imports 615 7$aMacroeconomics 615 7$aExternalities 615 7$aTime-Series Models 615 7$aDynamic Quantile Regressions 615 7$aDynamic Treatment Effect Models 615 7$aDiffusion Processes 615 7$aPrices, Business Fluctuations, and Cycles: General (includes Measurement and Data) 615 7$aCommodity Markets 615 7$aTrade Policy 615 7$aInternational Trade Organizations 615 7$aEconometrics & economic statistics 615 7$aEconomic growth 615 7$aInternational economics 615 7$aSpillovers 615 7$aVector autoregression 615 7$aBusiness cycles 615 7$aCommodity prices 615 7$aNorth American Free Trade Agreement 615 7$aInternational finance 615 7$aPrices 615 7$aCommercial treaties 676 $a338.9171073 700 $aBayoumi$b Tamim$0122763 701 $aSwiston$b Andrew$01598447 712 02$aInternational Monetary Fund.$bWestern Hemisphere Dept. 801 0$bDcWaIMF 906 $aBOOK 912 $a9910822791503321 996 $aSpillovers Across NAFTA$94083938 997 $aUNINA