HOW MUCH (A)SYMMETRY IN EUROPE - EVIDENCE FROM INDUSTRIAL SECTORS

To what extent do European countries differ with respect to the sources of cyclical fluctuations of industrial output? We look at output data disaggregated by industry for 11 European countries, and on the basis of a cointegrated vector autoregression model we examine the correlation of output innovations at the industry and country levels. We also discuss to what extent output innovations can be considered 'symmetric' or 'asymmetric'. Our results point to the fact that, on average, more variance of output innovations is explained at the country, rather than the industry level. We also find that the importance of asymmetric disturbances is quite varied among the 11 countries, and we identify a 'core' of countries with a higher degree of symmetry.