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https://hdl.handle.net/10419/19510
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DC Field | Value | Language |
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dc.contributor.author | Eickmeier, Sandra | en |
dc.date.accessioned | 2009-01-28T15:59:04Z | - |
dc.date.available | 2009-01-28T15:59:04Z | - |
dc.date.issued | 2005 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aDeutsche Bundesbank |cFrankfurt a. M. | en |
dc.relation.ispartofseries | |aDiscussion Paper Series 1 |x2005,02 | en |
dc.subject.jel | C50 | en |
dc.subject.jel | F40 | en |
dc.subject.jel | F02 | en |
dc.subject.jel | C32 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Dynamic factor models | en |
dc.subject.keyword | factor rotation | en |
dc.subject.keyword | common trends | en |
dc.subject.keyword | international business cycles | en |
dc.subject.keyword | international transmission channels | en |
dc.subject.stw | Konjunkturzusammenhang | en |
dc.subject.stw | Europäische Wirtschafts- und Währungsunion | en |
dc.subject.stw | Faktorenanalyse | en |
dc.subject.stw | Schätzung | en |
dc.subject.stw | EU-Staaten | en |
dc.title | Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 480971919 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:bubdp1:2936 | en |
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