Please use this identifier to cite or link to this item:
http://dspace.mediu.edu.my:8181/xmlui/handle/10419/19510| Title: | Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model |
| Keywords: | C50 F40 F02 C32 ddc:330 Dynamic factor models factor rotation common trends international business cycles international transmission channels Konjunkturzusammenhang Europäische Wirtschafts- und Währungsunion Faktorenanalyse Schätzung EU-Staaten |
| Issue Date: | 16-Oct-2013 |
| Description: | In this paper we rely on techniques recently developed by Bai and Ng (2004a) to estimate common euro-area stationary and non-stationary factors using a large-scale dynamic factor model. We find that euro-area economies share four non-stationary factors or trends and one stationary factor. By means of rotation techniques, we estimate a euro-area business cycle which is a fairly good match to EuroCOIN, the euro-area coincident business cycle indicator published by the CEPR. Fluctuations of common euro-area factors mainly reflect variations of German and French real economic activity as well as of producer prices and financial prices (long-term interest rates and/or real effective exchange rates) in various countries. As concerns the transmission channels, macroeconomic shocks seem to proliferate in the euro area more strongly through trade, exchange rates and long-term interest rates than through stock prices. Among the external driving forces, shocks to US economic activity seem to be more strongly linked to shocks to the euro-area factors than oil price shocks. We finally find evidence of mild overall convergence; results for individual countries are mixed. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/19510 |
| Other Identifiers: | http://hdl.handle.net/10419/19510 ppn:480971919 RePEc:zbw:bubdp1:2936 |
| Appears in Collections: | EconStor |
Files in This Item:
There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.