The aim of this paper is to analyse whether the impact of European shocks in the Spanish economy has increased after the entry of Spain into the European Community. Using VAR models, we try to disentangle if the changes observed are due to a change in the size of the shocks or in the propagation effects. The results shows that after 1986, despite the decrease in the size of European shocks, their impact on the Spanish business cycle has increased due to the greater sensitivity of the Spanish economy to these shocks.

Key words: economic fluctuations, European integration, volatility.
JEL classification: E32, E37, C32.