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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/19510Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.creator | Eickmeier, Sandra | - |
| dc.date | 2005 | - |
| dc.date.accessioned | 2013-10-16T07:05:22Z | - |
| dc.date.available | 2013-10-16T07:05:22Z | - |
| dc.date.issued | 2013-10-16 | - |
| dc.identifier | http://hdl.handle.net/10419/19510 | - |
| dc.identifier | ppn:480971919 | - |
| dc.identifier | RePEc:zbw:bubdp1:2936 | - |
| dc.identifier.uri | http://koha.mediu.edu.my:8181/xmlui/handle/10419/19510 | - |
| dc.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. | - |
| dc.language | eng | - |
| dc.relation | Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2005,02 | - |
| dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | - |
| dc.subject | C50 | - |
| dc.subject | F40 | - |
| dc.subject | F02 | - |
| dc.subject | C32 | - |
| dc.subject | ddc:330 | - |
| dc.subject | Dynamic factor models | - |
| dc.subject | factor rotation | - |
| dc.subject | common trends | - |
| dc.subject | international business cycles | - |
| dc.subject | international transmission channels | - |
| dc.subject | Konjunkturzusammenhang | - |
| dc.subject | Europäische Wirtschafts- und Währungsunion | - |
| dc.subject | Faktorenanalyse | - |
| dc.subject | Schätzung | - |
| dc.subject | EU-Staaten | - |
| dc.title | Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model | - |
| dc.type | doc-type:workingPaper | - |
| dc.coverage | 1981-2003 | - |
| Appears in Collections: | EconStor | |
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