المستودع الأكاديمي جامعة المدينة

Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model

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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


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