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dc.contributor.authorLumsdaine, Robin L.en_US
dc.contributor.authorPrasad, Eswar S.en_US
dc.coverage.temporal1963-1994en_US
dc.date.accessioned2009-01-28T16:22:42Z-
dc.date.available2009-01-28T16:22:42Z-
dc.date.issued2002en_US
dc.identifier.urihttp://hdl.handle.net/10419/21470-
dc.description.abstractIn 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.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseriesIZA Discussion paper series 487en_US
dc.subject.jelC51en_US
dc.subject.jelE32en_US
dc.subject.jelE37en_US
dc.subject.ddc330en_US
dc.subject.keywordeconomic fluctuationsen_US
dc.subject.keywordinternational and European business cyclesen_US
dc.subject.keywordautoregressive conditional heteroskedasticityen_US
dc.subject.stwWeltkonjunkturen_US
dc.subject.stwKonjunkturzusammenhangen_US
dc.subject.stwARCH-Modellen_US
dc.subject.stwOECD-Staatenen_US
dc.subject.stwWelten_US
dc.titleIdentifying the Common Component of International Economic Fluctuations: A New Approachen_US
dc.typeWorking Paperen_US
dc.identifier.ppn349526907en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:IZA Discussion Papers, Forschungsinstitut zur Zukunft der Arbeit (IZA)

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