These shocks explain roughly twice as much of the volatility of consumption growth as the volatility of output growth. 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.
Common and Idiosyncratic Disturbances in Developed Small Open Economies
WP 12-3 - Using an estimated dynamic stochastic general equilibrium model, the author shows that shocks to a common international stochastic trend explain on average about 10 percent of the variability of output in several small developed economies.