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http://hdl.handle.net/10419/19510
  

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dc.contributor.authorEickmeier, Sandraen_US
dc.coverage.temporal1981-2003en_US
dc.date.accessioned2009-01-28T15:59:04Z-
dc.date.available2009-01-28T15:59:04Z-
dc.date.issued2005en_US
dc.identifier.urihttp://hdl.handle.net/10419/19510-
dc.description.abstractIn 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.isoengen_US
dc.relation.ispartofseriesDiscussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2005,02en_US
dc.subject.jelC50en_US
dc.subject.jelF40en_US
dc.subject.jelF02en_US
dc.subject.jelC32en_US
dc.subject.ddc330en_US
dc.subject.keywordDynamic factor modelsen_US
dc.subject.keywordfactor rotationen_US
dc.subject.keywordcommon trendsen_US
dc.subject.keywordinternational business cyclesen_US
dc.subject.keywordinternational transmission channelsen_US
dc.subject.stwKonjunkturzusammenhangen_US
dc.subject.stwEuropäische Wirtschafts- und Währungsunionen_US
dc.subject.stwFaktorenanalyseen_US
dc.subject.stwSchätzungen_US
dc.subject.stwEU-Staatenen_US
dc.titleCommon stationary and non-stationary factors in the euro area analyzed in a large-scale factor modelen_US
dc.typeWorking Paperen_US
dc.identifier.ppn480971919en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:bubdp1:2936-
Appears in Collections:Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank

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