What caused the 2000/01 slowdown? Results from a VAR analysis of G7 GDP components

Abstract

In this paper a VAR-based analysis of shocks to G7 GDP components during the 2000/01 slowdown is presented. The patterns of shocks across the components and across the G7 countries are documented, and measures provided of their persistence. The shocks during the preceding expansion are also considered, and are used to discuss possible business cycle asymmetries, and a comparison made with the pattern of shocks during the previous slowdown in 1990. The analysis is then extended to derive shocks to components that explicitly take into account the roles played by monetary policy and oil prices in 2000/01.