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|Title:||Identifying the Common Component of International Economic Fluctuations: A New Approach |
|Authors:||Lumsdaine, Robin L.|
Prasad, Eswar S.
|Issue Date:||2002 |
|Series/Report no.:||IZA Discussion paper series 487|
|Abstract:||In this paper, we develop an aggregation procedure using time-varying weights for constructing the common component of international economic fluctuations. The methodology for deriving time-varying weights is based on some stylized features of the data documented in the paper. The model allows for a unified treatment of cyclical and seasonal fluctuations and also accommodates the dynamic propagation of shocks across countries. Based on correlations of individual country fluctuations with the common component, we find evidence for a ?world business cycle? as well as evidence for a distinct European common component. We also find some evidence that macroeconomic fluctuations have become more closely linked across industrial economies in the period after 1973.|
international and European business cycles
autoregressive conditional heteroskedasticity
|Document Type:||Working Paper|
|Appears in Collections:||IZA Discussion Papers, Forschungsinstitut zur Zukunft der Arbeit (IZA)|
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