@techreport{Eickmeier2005Common,
abstract = {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.},
author = {Sandra Eickmeier},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C50; F40; F02; C32; 330; Dynamic factor models; factor rotation; common trends; international business cycles; international transmission channels; Konjunkturzusammenhang; Europ\"{a}ische Wirtschafts- und W\"{a}hrungsunion; Faktorenanalyse; Sch\"{a}tzung; EU-Staaten},
language = {eng},
number = {2005,02},
title = {Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model},
type = {Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank},
url = {http://hdl.handle.net/10419/19510},
year = {2005}
}
