Identifying shocks to business cycles with asynchronous propagation

This paper develops a methodology to investigate which shocks drive asynchrony of business cycles. It unites two strands of literature, those on common features and on structural VAR analysis. In particular, a lack of a common cycle between two GDPs can be traced back to at least one shock with non-collinear structural impulse responses. We apply a Wald test to the collinearity hypothesis. Empirical results on the eurozone reveal that differences in the business cycles in several peripheral countries compared to a eurozone core are triggered mainly by local shocks. Depending on the country, real or nominal shocks turn out to play a more important role.