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Common and Idiosyncratic Disturbances in Developed Small Open Economies

Using an estimated dynamic stochastic general equilibrium model, I show that shocks to a common international stochastic trend explain on average about 10% of the variability of output in several small developed economies. These shocks explain roughly twice as much of the volatility of consumption growth as the volatility of output growth. When the model is expanded to include a common stationary productivity shock, the model attributes around 23% of the variability of output to those international common innovations. Country-specific disturbances account for the bulk of the volatility in the data. Substantial heterogeneity in the estimated parameters and stochastic processes translates into a rich array of impulse responses across countries.