Identifying the Common Component in International Economic Fluctuations: A New Approach
Electronic Access:
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Summary:
This paper develops an aggregation procedure using time-varying weights for constructing the common component of international economic fluctuations. The methodology for deriving time-varying weights is based on some stylized features of the data documented in the paper. The model allows for a unified treatment of cyclical and seasonal fluctuations and also captures the dynamic propagation of shocks across countries. Correlations of individual country fluctuations with the common component provide evidence of a “world business cycle” and a distinct European common component. The results suggest that macroeconomic fluctuations have become more closely linked across industrial economies in the post–Bretton Woods period.
Series:
Working Paper No. 1999/154
Subject:
Business cycles Econometric analysis Economic growth Economic sectors Factor models Industrial production Industrial sector Production Production growth
English
Publication Date:
November 1, 1999
ISBN/ISSN:
9781451857214/1018-5941
Stock No:
WPIEA1541999
Pages:
38
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