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Deutsche Bundesbank, Forschungszentrum, Frankfurt am Main >
Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/19510
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Eickmeier, Sandra | | en_US |
| dc.coverage.temporal | | 1981-2003 | | en_US |
| dc.date.accessioned | | 2009-01-28T15:59:04Z | | - |
| dc.date.available | | 2009-01-28T15:59:04Z | | - |
| dc.date.issued | | 2005 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/19510 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.relation.ispartofseries | | Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2005,02 | | en_US |
| dc.subject.jel | | C50 | | en_US |
| dc.subject.jel | | F40 | | en_US |
| dc.subject.jel | | F02 | | en_US |
| dc.subject.jel | | C32 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Dynamic factor models | | en_US |
| dc.subject.keyword | | factor rotation | | en_US |
| dc.subject.keyword | | common trends | | en_US |
| dc.subject.keyword | | international business cycles | | en_US |
| dc.subject.keyword | | international transmission channels | | en_US |
| dc.subject.stw | | Konjunkturzusammenhang | | en_US |
| dc.subject.stw | | Europäische Wirtschafts- und Währungsunion | | en_US |
| dc.subject.stw | | Faktorenanalyse | | en_US |
| dc.subject.stw | | Schätzung | | en_US |
| dc.subject.stw | | EU-Staaten | | en_US |
| dc.title | | Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 480971919 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank
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